Fuzzy Adaptive Pso Approach for Portfolio Optimization Problem

Volume 12, Issue 3, pp 235 - 242 http://dx.doi.org/10.22436/jmcs.012.03.07

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Authors

M. Soleimanivareki - Dept. of Math, Islamic Azad University Ayatollah Amoli Branch, Amol, Iran. A. Fakharzadeh J. - Dept. of Math, Faculty of Basic Sciences, Shiraz University of Technology, Shiraz, Iran. M. Poormoradi - Faculty member of Institution of High Education of Samangan Amol, Iran.

Abstract

The mean-variance model of Markowitz is the most common and popular approach in the investment selection; besides, the mathematical planning model proposed by Markowitz is the most effective method of the optimal portfolio selection. However, if there are a lot of investing assets and a lot of market’s restrictions, the common optimizing methods are not useful. Moreover, the portfolio optimization problem cannot be solved easily by applying the mathematical methods. In the present study, the heuristic Fuzzy Adaptive Particle Swarm Optimization (PSO) method is proposed to solve three highly applied models of the portfolio problem. Therefore, to fulfil this task the efficient frontier of the investment is drawn by applying the price information of the 50 shares accepted in Tehran stock market from October of 2009 to October of 2013. Results of this study manifest the efficiency of the used method in relation to other heuristic methods.

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Keywords

• portfolio optimization
• fuzzy adaptive particle swarm optimization
• mean-variance model
• the efficient frontier

MSC

•  68T05
•  68T40
•  91G10

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