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A novel hybrid algorithm based on a harmony search and artificial bee colony for solving a portfolio optimization problem using a mean-semi variance approach

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Journal of Central South University 2016年第1期23卷 181-188页

作者： Seyed Mohammad Seyedhosseini Mohammad Javad Esfahani Mehdi Ghaffari Department of Industrial Engineering Iran University of Science and Technology Young Researchers and Elite Club Naragh BranchIslamic Azad University Department of Industrial Engineering Naragh BranchIslamic Azad University

Portfolio selection is one of the major capital allocation and budgeting issues in financial management, and a variety of models have been presented for optimal selection. Semi-variance is usually considered as a risk factor in drawing up an efficient frontier and the optimal portfolio. Since semi-variance offers a better estimation of the actual risk portfolio, it was used as a measure to approximate the risk of investment in this work. The optimal portfolio selection is one of the non-deterministic polynomial(NP)-hard problems that have not been presented in an exact algorithm, which can solve this problem in a polynomial time. Meta-heuristic algorithms are usually used to solve such problems. A novel hybrid harmony search and artificial bee colony algorithm and its application were introduced in order to draw efficient frontier portfolios. Computational results show that this algorithm is more successful than the harmony search method and genetic algorithm. In addition, it is more accurate in finding optimal solutions at all levels of risk and return.

关键词： portfolio optimizations mean-variance model mean semi-variance model harmony search and artificial bee colony efficient frontier

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