Portfolio Optimization by Means of Meta Heuristic Algorithms

Advances in Mathematical Finance and Applications

مقاله 6، دوره 4، شماره 4، دی 2019، صفحه 83-97   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2019.579510.1144

نویسندگان

Mahmoud Rahmani¹؛ Maryam Khalili Eraqi^{* 2}؛ Hashem Nikoomaram²

¹Department of Management and Economics, Tehran Science and Research Branch, Islamic Azad University, Tehran, Iran .

²Department of Management and Economics, Tehran Science and Research Branch, Islamic Azad University, Tehran, Iran

چکیده

Investment decision making is one of the key issues in financial management. Selecting the appropriate tools and techniques that can make optimal portfolio is one of the main objectives of the investment world. This study tries to optimize the decision making in stock selection or the optimization of the portfolio by means of the artificial colony of honey bee algorithm. To determine the effectiveness of the algorithm, its sharp criteria was calculated and compared with the portfolio made up of genes and ant colony algorithms. The sample consisted of active firms listed on the Tehran Stock Exchange from 2005 to 2015. The sample selected by the systematic removal method. The findings show that artificial bee colony algorithm functions better than the genetic and ant colony algorithms in terms of portfolio formation

کلیدواژه‌ها

Artificial Bee Colony؛ Portfolio optimization؛ Genetic Algorithm؛ Ant Colony Algorithm

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