Description
Applying Particle Swarm Optimization, 1st ed. 2021
New Solutions and Cases for Optimized Portfolios
International Series in Operations Research & Management Science Series, Vol. 306
Coordinator: Mercangöz Burcu Adıgüzel
Language: EnglishSubjects for Applying Particle Swarm Optimization:
Publication date: 05-2022
351 p. · 15.5x23.5 cm · Paperback
Publication date: 05-2021
Support: Print on demand
Description
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This book explains the theoretical structure of particle swarm optimization (PSO) and focuses on the application of PSO to portfolio optimization problems. The general goal of portfolio optimization is to find a solution that provides the highest expected return at each level of portfolio risk. According to H. Markowitz?s portfolio selection theory, as new assets are added to an investment portfolio, the total risk of the portfolio?s decreasesdepending on the correlations of asset returns, while the expected return on the portfolio represents the weighted average of the expected returns for each asset.
The book explains PSO in detail and demonstrates how to implement Markowitz?s portfolio optimization approach using PSO. In addition, it expands on the Markowitz model and seeks to improve the solution-finding process with the aid of various algorithms. In short, the book provides researchers, teachers, engineers, managers and practitioners with many tools they need to apply the PSO technique to portfolio optimization.
First book-length treatment of portfolio optimization using particle swarm optimization (PSO)
Explains PSO in detail and shows how to apply it
Applies PSO to portfolio optimization problems in a range of areas