A Computation Approach Based PSO for Optimal Portfolio
Xuefeng Wang, Zhongxing Ye · Gongcheng shuxue xuebao · 2007
A new intelligent approach called PSO is applied to solve the optimal portfolio model with constraints.The relation between the quality of the solution and the parameters of PSO method is discussed,and the selection of proper parameters is proposed.The numerical simulation shows that PSO outperforms simulated annealing in some sense.