Applying Particle Swarm Optimization Algorithm to Solve Securities Portfolio Based on Utility Maximization

DOI

10.2991/978-2-38476-230-9_34How to use a DOI?

Keywords

particle swarm optimization algorithm; securities portfolio; utility maximization

Abstract

In this paper, Particle Swarm Optimization (PSO) is introduced into the decision-making problem of securities portfolio. Particle swarm optimization algorithm is simple and easy to implement, and it is not easy to fall into local optimization due to random search. Based on the introduction of particle swarm optimization algorithm, the portfolio objective function is constructed. In the empirical process, the income and risk factors are taken into account at the same time, and a new utility maximization portfolio objective function is constructed by referring to the investor utility function, which makes the results more realistic. The application example shows that the particle swarm optimization algorithm can solve the problem of portfolio optimization accurately and quickly.

Copyright

© 2024 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Cheng Liu
AU  - Yi Shi
AU  - Wenjing Xie
PY  - 2024
DA  - 2024/04/29
TI  - Applying Particle Swarm Optimization Algorithm to Solve Securities Portfolio Based on Utility Maximization
BT  - Proceedings of the 4th International Conference on New Computational Social Science (ICNCSS 2024)
PB  - Atlantis Press
SP  - 286
EP  - 293
SN  - 2352-5398
UR  - https://doi.org/10.2991/978-2-38476-230-9_34
DO  - 10.2991/978-2-38476-230-9_34
ID  - Liu2024
ER  -