Title: PSO-3P for the portfolio optimisation problem

Authors: José Carlos Javier Velasco; Sergio Gerardo De-los-Cobos-Silva; Eric Alfredo Rincón-García; Miguel Ángel Gutiérrez-Andrade; Roman Anselmo Mora-Gutiérrez; Antonin Ponsich; Pedro Lara-Velázquez

Addresses: Departamento de Ingeniería Eléctrica, Universidad Autónoma Metropolitana-Iztapalapa, Av. San Rafael Atlixco 186, Col. Vicentina, Del. Iztapalapa, C.P. 09340, Mexico ' Departamento de Ingeniería Eléctrica, Universidad Autónoma Metropolitana-Iztapalapa, Av. San Rafael Atlixco 186, Col. Vicentina, Del. Iztapalapa, C.P. 09340, Mexico ' Departamento de Sistemas, Universidad Autónoma Metropolitana-Azcapotzalco, Av. San Pablo 180, Colonia Reynosa Tamaulipas, C.P. 02200, Mexico ' Departamento de Ingeniería Eléctrica, Universidad Autónoma Metropolitana-Iztapalapa, Av. San Rafael Atlixco 186, Col. Vicentina, Del. Iztapalapa, C.P. 09340, Mexico ' Departamento de Sistemas, Universidad Autónoma Metropolitana-Azcapotzalco, Av. San Pablo 180, Colonia Reynosa Tamaulipas, C.P. 02200, Mexico ' Departamento de Sistemas, Universidad Autónoma Metropolitana-Azcapotzalco, Av. San Pablo 180, Colonia Reynosa Tamaulipas, C.P. 02200, Mexico ' Departamento de Ingeniería Eléctrica, Universidad Autónoma Metropolitana-Iztapalapa, Av. San Rafael Atlixco 186, Col. Vicentina, Del. Iztapalapa, C.P. 09340, Mexico

Abstract: Identifying risks and opportunities in an investment is an important issue for investors. There are different strategies used to maximise profits and minimise the risk. However, some problems cannot be efficiently solved using classical techniques of operations research. Thus, heuristic approach seems to be a good option to find high quality solutions in a limited amount of time. We propose a new variant of particle swarm optimisation named PSO-3P to solve the constrained portfolio optimisation problem. The proposed algorithm was tested over five well-known benchmark data sets and the obtained results proved to be highly competitive since they outperform those reported in the specialised literature in almost all tackled instances.

Keywords: PSO; PSO-3P; portfolio optimisation; Markowitz model.

DOI: 10.1504/IJBCRM.2018.094175

International Journal of Business Continuity and Risk Management, 2018 Vol.8 No.3, pp.219 - 231

Received: 26 Nov 2017
Accepted: 10 Apr 2018
Published online: 20 Aug 2018 *

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