Portfolio Selection Problem Using Generalized Differential Evolution 3

Adebiyi, A. A. and Ayo, C.K. (2015) Portfolio Selection Problem Using Generalized Differential Evolution 3. Applied Mathematical Sciences, 9 (42). ISSN 2069 - 2082

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Abstract

This Portfolio selection Problem (PSP) remains an intractable research problem in finance and economics and often regarded as NP-hard problem in optimization and computational intelligence. This paper solved the extended Markowitz meanvariance portfolio selection model with an efficient Metaheuristics method of Generalized Differential Evolution 3 (GDE3). The extended Markowitz meanvariance portfolio selection model consists of four constraints: bounds on holdings, cardinality, minimum transaction lots, and expert opinion. There is no research in literature that had ever engaged the set of four constraints with GDE3 to solve PSP. This paper is the first to conduct the study in this direction. The first three sets of constraints have been presented in other researches in literatures. This paper introduced expert opinion constraint to existing portfolio selection models and solved with GDE3. The computational results obtained in this research study show improved performance when compared with other Metaheuristics methods of Genetic algorithm (GA), Simulated Annealing (SA), Tabu Search (TS) and Particle Swarm Optimization (PSO).

Item Type:	Article
Subjects:	Q Science > QA Mathematics > QA76 Computer software
Depositing User:	Mr DIGITAL CONTENT CREATOR LMU
Date Deposited:	23 Sep 2019 10:54
Last Modified:	23 Sep 2019 10:54
URI:	https://eprints.lmu.edu.ng/id/eprint/2356

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