Application of Constrained Spider Monkey Optimization to Solve Portfolio Optimization Problem

DOI10.1007/978-981-13-0860-4_13zbMath1405.91554OpenAlexW2891230655MaRDI QIDQ4613896

Kavita Gupta, Kusum Deep, Atulya K. Nagar

Publication date: 25 January 2019

Published in: Decision Science in Action (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-13-0860-4_13

zbMATH Keywords

metaheuristicsportfolio optimizationMarkowitz modelconstrained spider monkey optimization

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Cites Work

• Fuzzy portfolio optimization. Advances in hybrid multi-criteria methodologies
• Particle swarm optimization approach to portfolio optimization
• An efficient constraint handling method for genetic algorithms

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