Time-varying minimum-cost portfolio insurance under transaction costs problem via Beetle Antennae Search Algorithm (BAS)

作者：

Highlights：

• Time-varying minimum-cost portfolio insurance under transaction costs problem.

• Online solution via meta-heuristic Beetle Antennae Search (BAS) Algorithm.

• Elimination of the static technique disadvantages.

摘要

•Time-varying minimum-cost portfolio insurance under transaction costs problem.•Online solution via meta-heuristic Beetle Antennae Search (BAS) Algorithm.•Elimination of the static technique disadvantages.

论文关键词：Portfolio constrained optimization,Time-varying transaction costs,Time-varying nonlinear programming,Nature-inspired algorithms,Beetle search optimization

论文评审过程：Received 30 April 2020, Revised 1 June 2020, Accepted 7 June 2020, Available online 21 June 2020, Version of Record 21 June 2020.

论文官网地址：https://doi.org/10.1016/j.amc.2020.125453