Journal
EXPERT SYSTEMS WITH APPLICATIONS
Volume 85, Issue -, Pages 61-75Publisher
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.eswa.2017.05.018
Keywords
Portfolio optimization; Cardinality constraints; Metaheuristics; Swarm intelligence; Artificial bee colony; Infeasibility toleration
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Funding
- Scientific and Technological Research Council of Turkey (TUBITAK) [214M224]
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One of the most studied variant of portfolio optimization problems is with cardinality constraints that transform classical mean-variance model from a convex quadratic programming problem into a mixed integer quadratic programming problem which brings the problem to the class of NP-Complete problems. Therefore, the computational complexity is significantly increased since cardinality constraints have a direct influence on the portfolio size. In order to overcome arising computational difficulties, for solving this problem, researchers have focused on investigating efficient solution algorithms such as metaheuristic algorithms since exact techniques may be inadequate to find an optimal solution in a reasonable time and are computationally ineffective when applied to large-scale problems. In this paper, our purpose is to present an efficient solution approach based on an artificial bee colony algorithm with feasibility enforcement and infeasibility toleration procedures for solving cardinality constrained portfolio optimization problem. Computational results confirm the effectiveness of the solution methodology. (C) 2017 Elsevier Ltd. All rights reserved.
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