International Journal of Financial Management

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A Meta-Heuristic Ant Colony Optimization Method for Solving Portfolio Optimization


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1 University (Center) of Relizane, Algeria
     

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This paper proposes a meta-heuristic ant colony optimization method to solve the portfolio optimization problem. The objective is to maximize the portfolio return and to minimize the portfolio risk simultaneously. To do so, the optimization problem is formulated as a total cost function to be minimized. The computational results on an example of five (05) stock portfolios not only show that the proposed method is capable and effective in finding the optimum portfolio return with the minimum of risk but also provides better solutions than another meta-heuristics based on genetic algorithms with respect to convergence time and efficiency.

Keywords

Meta-heuristics Optimization Methods, Ant Colony Optimization Method, Multi-objective, Portfolio Optimization
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  • A Meta-Heuristic Ant Colony Optimization Method for Solving Portfolio Optimization

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Authors

Slimane Sefiane
University (Center) of Relizane, Algeria
Mohamed Benbouzian
University (Center) of Relizane, Algeria

Abstract


This paper proposes a meta-heuristic ant colony optimization method to solve the portfolio optimization problem. The objective is to maximize the portfolio return and to minimize the portfolio risk simultaneously. To do so, the optimization problem is formulated as a total cost function to be minimized. The computational results on an example of five (05) stock portfolios not only show that the proposed method is capable and effective in finding the optimum portfolio return with the minimum of risk but also provides better solutions than another meta-heuristics based on genetic algorithms with respect to convergence time and efficiency.

Keywords


Meta-heuristics Optimization Methods, Ant Colony Optimization Method, Multi-objective, Portfolio Optimization

References