Portfolio Optimization by Using the Symbiotic Organisms Search

Document Type : Research Paper

Authors

1 Assistant Prof., Faculty of Industrial Engineering, University of Science & Technology, Tehran, Iran

2 MSc. of Industrial Engineering, University of Science & Technology, Tehran, Iran

3 BSc. of Industrial Engineering, University of Science & Technology, Tehran, Iran

Abstract

The portfolio optimization has become one of the most important issues for the companies operating in the capital market. When the real-world conditions and restrictions, including cardinality constraint are considered in portfolio optimization, the problem is not easily solvable. Therefore using the meta-heuristic methods will be considered. Regarding this fact, the main purpose of this paper is to solve portfolio optimization problem by using an entirely new and emerging meta-heuristic algorithm that called symbiotic organisms search, while considering the limitations of the real world in the formation of portfolio. This algorithm is inspired by the symbiotic relationship in diverse ecosystems that exist in nature, and introduced in 2014. Finally, the model used in this study has been solved with real data and the results have been analyzed. The results of this paper demonstrate that the symbiotic organism search has been successful in portfolio optimization and has been able to properly interact with the actual limitations of the market.

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References

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Financial Research Journal
Volume 18, Issue 2
May 2016
Pages 369-390

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