Development and Application of a Multi-Objective Ant Colony Op-timization Method for Portfolio Problem

3

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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Information About the Authors

Andrey V. Panteleev, Doctor of Physics and Matematics, Professor, Head of the Department of Mathematical Cybernetics, Institute of Information Technologies and Applied Mathematics, Moscow Aviation Institute (National Research University), Moscow, Russia, ORCID: https://orcid.org/0000-0003-2493-3617, e-mail: avpanteleev@inbox.ru

Natalya S. Popova, Bachelor’s Degree Student, Institute “Computer Science and Applied Mathematics”, Moscow Aviation Institute (National Research University) (MAI), Moscow, Russia, ORCID: https://orcid.org/0009-0000-7196-7786, e-mail: popovanatalya472@gmail.com

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