Applying Particle Swarm Optimization
New Solutions and Cases for Optimized Portfolios
Editors: Adıgüzel Mercangöz, Burcu (Ed.)
Free Preview- First book-length treatment of portfolio optimization using particle swarm optimization (PSO)
- Explains PSO in detail and shows how to apply it
- Applies PSO to portfolio optimization problems in a range of areas
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- About this book
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This book explains the theoretical structure of particle swarm optimization (PSO) and focuses on the application of PSO to portfolio optimization problems. The general goal of portfolio optimization is to find a solution that provides the highest expected return at each level of portfolio risk. According to H. Markowitz’s portfolio selection theory, as new assets are added to an investment portfolio, the total risk of the portfolio’s decreases depending on the correlations of asset returns, while the expected return on the portfolio represents the weighted average of the expected returns for each asset.
The book explains PSO in detail and demonstrates how to implement Markowitz’s portfolio optimization approach using PSO. In addition, it expands on the Markowitz model and seeks to improve the solution-finding process with the aid of various algorithms. In short, the book provides researchers, teachers, engineers, managers and practitioners with many tools they need to apply the PSO technique to portfolio optimization.
- About the authors
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Burcu Adıgüzel Mercangöz is an Associate Professor of Operations Research at the Faculty of Transportation and Logistics, Istanbul University (Turkey). Her research interests include Quantitative Methods, Multicriteria Decision Analysis, Optimization Techniques, Optimization (Mathematics), Supply Chain Management, Transportation, Logistics, Information Systems, Heuristics, and Meta-Heuristics (Tabu Search, Genetic Algorithms, Simulated Annealing, Ant-Colony, Particle Swarm Optimization).
- Table of contents (17 chapters)
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Utility: Theories and Models
Pages 3-14
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Portfolio Optimization
Pages 15-27
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Behavioral Portfolio Theory
Pages 29-48
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A Comparative Study on PSO with Other Metaheuristic Methods
Pages 49-72
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Mathematical Model of Particle Swarm Optimization: Numerical Optimization Problems
Pages 73-95
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Table of contents (17 chapters)
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Bibliographic Information
- Bibliographic Information
-
- Book Title
- Applying Particle Swarm Optimization
- Book Subtitle
- New Solutions and Cases for Optimized Portfolios
- Editors
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- Burcu Adıgüzel Mercangöz
- Series Title
- International Series in Operations Research & Management Science
- Series Volume
- 306
- Copyright
- 2021
- Publisher
- Springer International Publishing
- Copyright Holder
- The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG
- eBook ISBN
- 978-3-030-70281-6
- DOI
- 10.1007/978-3-030-70281-6
- Hardcover ISBN
- 978-3-030-70280-9
- Series ISSN
- 0884-8289
- Edition Number
- 1
- Number of Pages
- XII, 351
- Number of Illustrations
- 75 b/w illustrations, 10 illustrations in colour
- Topics
