Book Chapter or Conference Paper Title

Comparison of AIS and PSO for constrained portfolio optimization

Faculty / School

Faculty of Computer Sciences (FCS)

Department

Department of Computer Science

Was this content written or created while at IBA?

Yes

Document Type

Conference Paper

Publication Date

11-17-2009

Conference Name

2009 International Conference on Information and Financial Engineering

Conference Location

Singapore

Conference Dates

17-20 April 2009

ISBN/ISSN

70449453555 (Scopus)

First Page

50

Publisher

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.

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