A constrained consensus based optimization algorithm and its application to finance

作者：

Highlights：

• Discrete time Consensus Based Optimization (CBO) algorithm on a convex set is introduced.

• The error between optimal value and consensus value is rigorously calculated and further extended from previous paper.

• Portfolio optimization problem was solved using our proposed constrained CBO algorithm.

摘要

•Discrete time Consensus Based Optimization (CBO) algorithm on a convex set is introduced.•The error between optimal value and consensus value is rigorously calculated and further extended from previous paper.•Portfolio optimization problem was solved using our proposed constrained CBO algorithm.

论文关键词：Consensus based optimization,Portfolio selection,Mean-variance model

论文评审过程：Received 18 July 2021, Revised 24 September 2021, Accepted 7 October 2021, Available online 3 November 2021, Version of Record 3 November 2021.

论文官网地址：https://doi.org/10.1016/j.amc.2021.126726