PSO-3P for the portfolio optimisation problem
Pedro Lara Velázquez, Antonin Ponsich, Román Gutiérrez, Miguel Ángel Gutiérrez Andrade, José Carlos Javier Velasco, Eric Alfredo Rincón-García, Sergio Gerardo de-los-Cobos-Silva · International Journal of Business Continuity and Risk Management · 2018
Identifying risks and opportunities in an investment is an important issue for investors. There are different strategies used to maximise profits and minimise the risk. However, some problems cannot be efficiently solved using classical techniques of operations research. Thus, heuristic approach seems to be a good option to find high quality solutions in a limited amount of time. We propose a new variant of particle swarm optimisation named PSO-3P to solve the constrained portfolio optimisation problem. The proposed algorithm was tested over five well-known benchmark data sets and the obtained results proved to be highly competitive since they outperform those reported in the specialised literature in almost all tackled instances.