A self-adaptive step-size search algorithm for the cardinality constrained portfolio optimisation problem

Zi, Xuan Loke and Say, Leng Goh and Jonathan Likoh Juis @ Juise (2024) A self-adaptive step-size search algorithm for the cardinality constrained portfolio optimisation problem.

Text FULL TEXT.pdf Restricted to Registered users only Download (716kB)

Abstract

This paper proposes a Self-adaptive Step-size Search (SASS) algorithm to address a Cardinality Constrained Portfolio Optimisation Problem (CCPOP). The proposed methodology is tested using five datasets from OR-Library. Experiments are conducted to test different settings of the particles in the SASS algorithm. The computational results are compared in terms of performance measures. The SASS algorithm achieves a lower value for most of the performance measures when the number of particles increases.

Item Type:	Proceedings
Keyword:	Self-adaptive Step-size Search, Portfolio Optimisation Problem, Computational Intelligence
Subjects:	Q Science > QA Mathematics > QA1-939 Mathematics > QA71-90 Instruments and machines > QA75.5-76.95 Electronic computers. Computer science T Technology > T Technology (General) > T1-995 Technology (General)
Department:	FACULTY > Faculty of Computing and Informatics
Depositing User:	SITI AZIZAH BINTI IDRIS -
Date Deposited:	04 Dec 2024 15:27
Last Modified:	04 Dec 2024 15:27
URI:	https://eprints.ums.edu.my/id/eprint/42111

Actions (login required)

View Item