Squirrel search algorithm for portfolio optimization

作者：

Highlights：

• Squirrel Search algorithm is adapted to solve the portfolio optimization problem.

• Different variants of the problem are considered.

• Cardinality constrained mean-variance and Sharpe models are adopted.

• Extensive computational experiments show the efficiency of the approach.

摘要

•Squirrel Search algorithm is adapted to solve the portfolio optimization problem.•Different variants of the problem are considered.•Cardinality constrained mean-variance and Sharpe models are adopted.•Extensive computational experiments show the efficiency of the approach.

论文关键词：Swarm Intelligence,Portfolio optimization,Squirrel search algorithm,Markowitz,Sharpe,Mean-variance

论文评审过程：Received 14 September 2020, Revised 25 March 2021, Accepted 25 March 2021, Available online 2 April 2021, Version of Record 3 May 2021.

论文官网地址：https://doi.org/10.1016/j.eswa.2021.114968