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Comparison of Simulated Annealing and Electromagnetic Algorithms for Solution of Extended Portfolio Model
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چکیده: (7778 مشاهده) |
| 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. |
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متن کامل [PDF 783 kb]
(3547 دریافت)
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نوع مطالعه: پژوهشي |
موضوع مقاله:
تخصصي
دریافت: 1392/4/2 | انتشار: 1392/3/25
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