Research on Portfolio Optimization-Based on the Improved Particle Swarm
Yuanbin Mo, Yunan Zhang, Yanzhui Ma, Fuyong Liu · 2015
Portfolio is one of research focuses in modern finance field.There are some kinds of assets to choose.How should we define the ratio of the portfolio in order to minimum the risk in the level of the established income, or at the established risk makes the benefit maximum.This paper introduces an Improved Particle Swarm algorithm to solve the select problem of investment decision, and compare with the traditional PSO.The experimental results indicate that the improved PSO is an efficient and reliable algorithm.