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https://hdl.handle.net/11499/24714
Title: | Particle swarm optimization algorithm for mean-variance portfolio optimization: A case study of Istanbul Stock Exchange | Other Titles: | Ortalama-Varyans portföy optimizasyonu için parçacık sürü optimizasyonu algoritması: Bir Borsa İstanbul uygulaması | Authors: | Akyer, Hasan Kalaycı, Can Berk Aygören, Hakan |
Keywords: | Portfolio optimization; Mean-variance model; Heuristic methods; Particle swarm optimization |
Publisher: | PAMUKKALE UNIV | Abstract: | While investors used to create their portfolios according to traditional portfolio theory in the past, today modern portfolio approach is widely preferred. The basis of the modern portfolio theory was suggested by Harry Markowitz with the mean variance model. A greater number of securities in a portfolio is difficult to manage and has an increased transaction cost. Therefore, the number of securities in the portfolio should be restricted. The problem of portfolio optimization with cardinality constraints is NP-Hard. Meta-heuristic methods are generally preferred to solve since problems in this class are difficult to be solved with exact solution algorithms within acceptable times. In this study, a particle swarm optimization algorithm has been adapted to solve the portfolio optimization problem and applied to Istanbul Stock Exchange. The experiments show that while in low risk levels it is required to invest into more number of assets in order to converge unconstrained efficient frontier, as risk level increases the number of assets to be held is decreased. | URI: | https://hdl.handle.net/11499/24714 https://doi.org/10.5505/pajes.2017.91145 |
ISSN: | 1300-7009 |
Appears in Collections: | İktisadi ve İdari Bilimler Fakültesi Koleksiyonu Mühendislik Fakültesi Koleksiyonu TR Dizin İndeksli Yayınlar Koleksiyonu / TR Dizin Indexed Publications Collection WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection |
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Ortalama-Varyans portf__y optimizasyonu i__in par__ac__k s__r__ optimizasyonu algoritmas___ Bir Borsa __stanbul uygulamas__[#400843]-434053.pdf | 848.1 kB | Adobe PDF | View/Open |
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