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APPLYING PARTICLE SWARM OPTIMIZATION IBD

BURCU AD?GüZEL MERCANGöZ
SPRINGER
05 / 2022
9783030702830
Inglés

Sinopsis

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. MarkowitzâÇÖs portfolio selection theory, as new assets are added to an investment portfolio, the total risk of the portfolioâÇÖs decreases depending 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 MarkowitzâÇÖs portfolio optimization approach using PSO.áIn addition, it expands on the Markowitz model and seeks to improve the solution-finding process with the aid of various algorithms.áIn short, the book provides researchers, teachers, engineers, managers and practitioners with many toolsáthey need to apply the PSO technique to portfolio optimization.