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\iteman{io-port 05823347}
\itemau{Deng, Guang-Feng; Lin, Woo-Tsong}
\itemti{Ant colony optimization for Markowitz mean-variance portfolio model.}
\itemso{Panigrahi, Bijaya Ketan (ed.) et al., Swarm, evolutionary, and memetic computing. First international conference on swarm, evolutionary, and memetic computing, SEMCCO 2010, Chennai, India, December 16--18, 2010. Proceedings. Berlin: Springer (ISBN 978-3-642-17562-6/pbk). Lecture Notes in Computer Science 6466, 238-245 (2010).}
\itemab
Summary: This work presents Ant Colony Optimization (ACO), which was initially developed to be a meta-heuristic for combinatorial optimization, for solving the cardinality constraints Markowitz mean-variance portfolio model (nonlinear mixed quadratic programming problem). To our knowledge, an efficient algorithmic solution for this problem has not been proposed until now. Using heuristic algorithms in this case is imperative. Numerical solutions are obtained for five analyses of weekly price data for the following indices for the period March, 1992 to September, 1997: Hang Seng 31 in Hong Kong, DAX 100 in Germany, FTSE 100 in UK, S\&P 100 in USA and Nikkei 225 in Japan. The test results indicate that the ACO is much more robust and effective than Particle swarm optimization (PSO), especially for low-risk investment portfolios.
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\itemcc{}
\itemut{Ant Colony Optimization (ACO); Markowitz mean-variance portfolio model; cardinality constrained portfolio optimization problem; nonlinear mixed quadratic programming problem}
\itemli{doi:10.1007/978-3-642-17563-3\_29}
\end