Diversification of Time-Varying Tangency Portfolio under Nonlinear Constraints through Semi-Integer Beetle Antennae Search Algorithm
Abstract
:1. Introduction
- We define and explore the TV-TPNC problem as a NLP problem.
- To tackle NLP problems with cardinality constraints, a hybrid algorithm, called SIBAS, is proposed.
- We present the SIBAS efficiency against particle swarm optimization (PSO), differential evolution (DE) and slime mould algorithm (SMA) on a financial NLP problem.
2. Tangency Portfolio Optimization
maxp | |
subject to | |
subject to | |
3. The Semi-Integer Beetle Antennae Search Model
3.1. The SIBAS Algorithm
3.2. SIBAS Approach on the TV-TPNC Problem and the Complete Process
Algorithm 1: The complete process to solve the TV-TPNC problem of (9)–(12) using SIBAS. |
Require: The market dataset M; the delays number ; the initial portfolio and the value of parameter . |
|
Ensure: The optimal solution of the TV-TPNC problem of (9)–(12). |
4. Applications
4.1. Real-World Data Portfolio Cases
4.2. MATLAB Repository
5. Conclusions
- The SIBAS could be compared to other popular meta-heuristics approaches in larger portfolios and other financial portfolio optimization problems.
- The use of SIBAS in constraint optimization problems in different scientific domains.
Author Contributions
Funding
Data Availability Statement
Conflicts of Interest
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Portfolio | SIBAS | PSO | SMA | DE |
---|---|---|---|---|
Case 1 (40 Stocks) | s | s | s | s |
Case 2 (80 Stocks) | s | s | s | s |
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Katsikis, V.N.; Mourtas, S.D. Diversification of Time-Varying Tangency Portfolio under Nonlinear Constraints through Semi-Integer Beetle Antennae Search Algorithm. AppliedMath 2021, 1, 63-73. https://doi.org/10.3390/appliedmath1010005
Katsikis VN, Mourtas SD. Diversification of Time-Varying Tangency Portfolio under Nonlinear Constraints through Semi-Integer Beetle Antennae Search Algorithm. AppliedMath. 2021; 1(1):63-73. https://doi.org/10.3390/appliedmath1010005
Chicago/Turabian StyleKatsikis, Vasilios N., and Spyridon D. Mourtas. 2021. "Diversification of Time-Varying Tangency Portfolio under Nonlinear Constraints through Semi-Integer Beetle Antennae Search Algorithm" AppliedMath 1, no. 1: 63-73. https://doi.org/10.3390/appliedmath1010005