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:: Volume 3, Issue 3 (6-2013) ::
2013, 3(3): 0-0 Back to browse issues page
Comparison of Simulated Annealing and Electromagnetic Algorithms for Solution of Extended Portfolio Model
K. Shahanaghi , M. H. Babaei , M. R. Hamidi , E. Jahani
Abstract:   (7586 Views)
This paper presents two meta-heuristic algorithms to solve an extended portfolio selection model. The extended model is based on the Markowitz's Model, aiming to minimize investment risk in a specified level of return. In order to get the Markowitz model close to the real conditions, different constraints were embedded on the model which resulted in a discrete and non-convex solution space. However, due to the NP-hard nature of the problem two meta-heuristic algorithms were used, namely the simulated annealing and electromagnetic algorithms. Comparative result indicated high efficiency of the extended model and the solution presented by the electromagnetic algorithm.
Full-Text [PDF 783 kb]   (3143 Downloads)    
Type of Study: Research | Subject: Special
Received: 2013/06/23 | Published: 2013/06/15
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K. Shahanaghi, M. H. Babaei, M. R. Hamidi, E. Jahani. Comparison of Simulated Annealing and Electromagnetic Algorithms for Solution of Extended Portfolio Model. International Journal of Applied Operational Research 2013; 3 (3)
URL: http://ijorlu.liau.ac.ir/article-1-244-en.html


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Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 3, Issue 3 (6-2013) Back to browse issues page
ژورنال بین المللی پژوهش عملیاتی International Journal of Applied Operational Research - An Open Access Journal
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