Comparison of particle swarm optimization and tabu search algorithms for portfolio selection problem
Morteza Kazemi, Aghile Heidari, Mehrdad Lashkary · Journal of New Researches in Mathematics · 2017
Using Metaheuristics models and Evolutionary Algorithms for solving portfolio problem has been considered in recent years.In this study, by using particles swarm optimization and tabu search algorithms we optimized two-sided risk measures . A standard exact penalty function transforms the considered portfolio selection problem into an equivalent unconstrained minimization problem. And in finally the historical data from s&p100 from years 2007 through 2009 is used as model input and then the model was solved and these algorithms were compared.