Modelling and Data Analysis
2024. Vol. 14, no. 2, 80–97
doi:10.17759/mda.2024140205
ISSN: 2219-3758 / 2311-9454 (online)
Development and Application of a Multi-Objective Ant Colony Op-timization Method for Portfolio Problem
Abstract
A numerical method of multi-objective optimization is proposed for an approximate solution of the problem based on the generation of feasible solutions using the continuous ant colony method, non-dominated sorting and the epsilon-constraint technique. Solving a problem means finding the Pareto front. Solutions of typical model examples are given. The applied problem of optimizing an investment portfolio has been solved, in which the initial data are the tabulated average returns and covariance of stocks.
General Information
Keywords: investment portfolio optimization, multi-objective optimization, metaheuristic meth-ods, non-dominated sorting, -constraint technique, ant colony optimization, Pareto optimality
Journal rubric: Data Analysis
Article type: scientific article
DOI: https://doi.org/10.17759/mda.2024140205
Received: 20.05.2024
Accepted:
For citation: Panteleev A.V., Popova N.S. Development and Application of a Multi-Objective Ant Colony Op-timization Method for Portfolio Problem. Modelirovanie i analiz dannikh = Modelling and Data Analysis, 2024. Vol. 14, no. 2, pp. 80–97. DOI: 10.17759/mda.2024140205. (In Russ., аbstr. in Engl.)
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