On Portfolio Investment Model Using Ant Colony Optimization Algorithm

Based on Markowitz' theory of asset portfolio, a multiple-goal optimization model of portfolio investment was set up considering both risk and return. Then applying ant colony optimization algorithm to solve the model, we got a better result than that of using Lingo.

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Bibliographic Details
Published in2007 Chinese Control Conference pp. 494 - 497
Main Authors Zhou Jianguo, Zhang Hui, Tian Jiming
Format Conference Proceeding
LanguageChinese
English
Published IEEE 01.07.2007
Subjects
Ant colony algorithm
Ant colony optimization
Electronic mail
Investments
Lingo
Multi-objective programming
Portfolio investment
Portfolios
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Summary:Based on Markowitz' theory of asset portfolio, a multiple-goal optimization model of portfolio investment was set up considering both risk and return. Then applying ant colony optimization algorithm to solve the model, we got a better result than that of using Lingo.
ISBN:9787811240559
7811240556
ISSN:1934-1768
DOI:10.1109/CHICC.2006.4347390