Portfolio Optimization with Investment Constrains Based on Modified Cuckoo Search Algorithm

2017 Revista Técnica de la Facultad de Ingeniería Universidad del Zulia  
Focuses on the optimization of stock-bond portfolio, This Paper defines stock-bond semi absolute deviation risk function. A mathematic model on stock-bond portfolio is established considering no long buying and short sales, transaction fees and units. A modified cuckoo search algorithm (MCS) is proposed joining three strategies of local search, self-adaption and intelligent learning. Owing to improve global search ability and enhance the stability of the optimal solution. MCS algorithm has
more » ... algorithm has faster convergence speed, high convergence accuracy and more robust. Finally, MCS algorithm is applied to solve portfolio optimal with investment constraints, MCS algorithm has obvious optimization effect.
doi:10.21311/001.39.10.08 fatcat:yrdetreimbcdvhizkyqk3i5roy