Investment Portfolio Optimization by Binary Bee Swarm Method
Andrei V. Panteleev, S.A. Milyutina · Modelling and Data Analysis · 2024
The problem of forming a stock portfolio is considered as a binary optimization problem. The solution is formed using the developed modification of the bee swarm method, supplemented by a binarization procedure using various transition functions. The efficiency of the proposed method is studied using model examples and the applied problem of maximizing portfolio profitability is solved taking into account constraints on the funds used and the risk value.