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Comparison of Simulated Annealing and Electromagnetic Algorithms for Solution of Extended Portfolio Model
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K. Shahanaghi   , M. H. Babaei , M. R. Hamidi , E. Jahani |
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Abstract: (7623 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. |
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Full-Text [PDF 783 kb]
(3248 Downloads)
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Type of Study: Research |
Subject:
Special
Received: 2013/06/23 | Published: 2013/06/15
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