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A Cuckoo Optimisation Algorithm for Solving Financial Portfolio Problem


Affiliations
1 Institute of Economic and Commercial Sciences, University (Center) of Relizane, Algeria
2 University of Mostaganem, Algeria
     

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Over the years, different solution methods to financial portfolio optimisation problems have been developed and applied. In recent years, however, there has been an increasing use of heuristic methods as alternative to other methods. In this study, a newly developed heuristic method called Cuckoo Optimisation Algorithm (COA) is presented to solve financial portfolio optimisation problems. The results on a five stock application example show that the proposed cuckoo algorithm solves the portfolio optimisation problem more optimally than genetic algorithm and ant colony algorithm.

Keywords

Financial Portfolio Optimisation, Approxi-Mate Methods, Cuckoo Optimisation Algorithm.
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  • A Cuckoo Optimisation Algorithm for Solving Financial Portfolio Problem

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Authors

Slimane Sefiane
Institute of Economic and Commercial Sciences, University (Center) of Relizane, Algeria
Hadj Bourouba
University of Mostaganem, Algeria

Abstract


Over the years, different solution methods to financial portfolio optimisation problems have been developed and applied. In recent years, however, there has been an increasing use of heuristic methods as alternative to other methods. In this study, a newly developed heuristic method called Cuckoo Optimisation Algorithm (COA) is presented to solve financial portfolio optimisation problems. The results on a five stock application example show that the proposed cuckoo algorithm solves the portfolio optimisation problem more optimally than genetic algorithm and ant colony algorithm.

Keywords


Financial Portfolio Optimisation, Approxi-Mate Methods, Cuckoo Optimisation Algorithm.

References