Non-linear Activated Beetle Antennae Search: A novel technique for non-convex tax-aware portfolio optimization problem

作者：

Highlights：

• Unlike BAS, NABAS has a moderate convergence rate.

• Unlike BAS, NABAS avoids premature convergence and local minima.

• It solved optimization-based non-linear tax-aware portfolio selection problem.

• Employed 20 companies from the NASDAQ stock market as a testbed.

• A comprehensive analysis and comparison between NABAS and BAS, PSO, and GA.

摘要

•Unlike BAS, NABAS has a moderate convergence rate.•Unlike BAS, NABAS avoids premature convergence and local minima.•It solved optimization-based non-linear tax-aware portfolio selection problem.•Employed 20 companies from the NASDAQ stock market as a testbed.•A comprehensive analysis and comparison between NABAS and BAS, PSO, and GA.

论文关键词：Beetle Antennae Search,Portfolio selection,Tax-liability,Optimization,Finance problem

论文评审过程：Received 15 October 2020, Revised 18 December 2021, Accepted 30 January 2022, Available online 19 February 2022, Version of Record 4 March 2022.

论文官网地址：https://doi.org/10.1016/j.eswa.2022.116631