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