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Swarm intelligent optimisation based stochastic programming model for dynamic asset allocation
Date Issued
2010-07
Date Available
2011-01-20T15:11:30Z
Abstract
Asset allocation is critical for the portfolio management process. In this paper, we solve a dynamic asset allocation problem through a multiperiod stochastic programming model. The objective is to maximise the expected utility of wealth at the end of the planning periods. To improve the optimisation result of the model, we employ swarm intelligent optimisers, the Bacterial Foraging Optimisation (BFO) algorithm and the Particle Swarm Optimisation (PSO) algorithm. A hybrid optimiser using the Bacterial Foraging Optimisation algorithm for initialisation and the Sequential Quadratic Programming (SQP) for local search is also suggested. The results are compared with the standard-alone SQP and the canonical Genetic Algorithm. The numerical results suggest the hybrid method provides better result, with improved accuracy, stability and computing speed than using BFO, PSO, GA, or SQP alone.
Sponsorship
Science Foundation Ireland
Type of Material
Conference Publication
Publisher
IEEE Press
Copyright (Published Version)
2010 IEEE
Subject – LCSH
Portfolio management--Computer simulation
Swarm intelligence
Stochastic programming
Quadratic programming
Web versions
Language
English
Status of Item
Peer reviewed
Journal
2010 IEEE Congress on Evolutionary Computation (CEC) [proceedings]
Conference Details
Congress on Evolutionary Computation, IEEE World Congress on Computational Intelligence, Barcelona, Spain, 18-23 July
ISBN
978-1-4244-6909-3
This item is made available under a Creative Commons License
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Jing_CEC_v3A.pdf
Size
403.06 KB
Format
Adobe PDF
Checksum (MD5)
fc1daed5f31f17e199fcc5c15729826e
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