Journal


Title   Optimizing Portfolio Using Particle-Swarm Algorithm in Various Definitions of Risk Measurement.
Author's Name   Hedie Sadat Mizban, Zahra Afchangi, Mehdi Ahrari, Farshad Arvin and Ali Souri
ISSN   0974-7281
Page(s)   61-74
Volume No.   8
Issue Month   July 2016
Keywords   Particle Swarm Optimization, Portfolio, Mean-Variance, Semi-Variance, Mean Absolute Deviation.
Abstract   In this article, particle-swarm algorithm is used for optimizing Markowitz portfolio according to different criteria to measure the risk such as mean variance, the mean of half-variance and the mean of absolute deviation, as well as the limitations of the real market such as fixed number of shares and limited purchases. To evaluate the ability to solve these problems by using this algorithm, the real data of 186 companies active in the Tehran Stock Exchange from June 2006 to June 2010 are used. The results of this study indicate the successful performance of PSO algorithm in calculating Markowitz efficient frontier in different definitions of risk measurement.



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