Book Chapter or Conference Paper Title
Comparison of AIS and PSO for constrained portfolio optimization
Faculty / School
Faculty of Computer Sciences (FCS)
Department of Computer Science
Was this content written or created while at IBA?
2009 International Conference on Information and Financial Engineering
17-20 April 2009
Institute of Electrical and Electronics Engineers (IEEE)
Abstract / Description
This paper applies two computational intelligence techniques, namely particle swarm optimization and artificial immune systems, to constrained portfolio optimization. The portfolio selection model considered in this paper is based on the classical Markowitz mean-variance theory enhanced with floor and ceiling constraints. Several experiments are conducted using the stocks listed on the Karachi Stock Exchange 30 Index (KSE30). The performances of both computational intelligence techniques are compared on two criteria:
(a) maximization of expected return
(b) maximization of return-to-variance ratio.
The results are also compared with the ones obtained through Microsoft Excel Solver.
Abbas, A., & Haider, S. (2009). Comparison of AIS and PSO for constrained portfolio optimization., 50. https://doi.org/10.1109/ICIFE.2009.32