Journal ArticleDOI
Artificial Bee Colony Algorithm Hybridized with Firefly Algorithm for Cardinality Constrained Mean-Variance Portfolio Selection Problem
Milan Tubaand,Nebojsa Bacanin +1 more
TLDR
Comparison with other state-of-the-art optimization metaheuristics including genetic algorithms, simulated annealing, tabu searc h and particle swarm optimization shows that the proposed algorithm is superior considering quality of the portfolio optimization results, especially mean Euclidean distance from the standard efficiency frontier.Abstract:
Portfolio selection (optimization) problem is a very important and widely rese arched problem in the areas of finance and economy. Literature review shows that many methods and heuristics were applied to this hard optimization problem, however, there are only few implementations of swarm intelligence metaheuristics. This paper presents artificial bee colony (ABC) algorithm applied to the cardinality constrained mean-variance (CCMV) portfolio optimization model. By analyzing ABC metaheuristic, some deficiencies such as slow convergence to the optimal region, were noticed. In this paper ABC algorithm improved by hybridization with the firefly algorithm (FA) is presented. FA's search procedure was incorporate d into the ABC algorithm to enhance the process of exploitation. We tested our proposed algorithm on standard test data used in the literature. Comparison with other state-of-the-art optimization metaheuristics including genetic algorithms, simulated annealing, tabu searc h and particle swarm optimization (PSO) shows that our approach is superior considering quality of the portfolio optimization results , especially mean Euclidean distance from the standard efficiency frontier.read more
Citations
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Journal ArticleDOI
COVID-19 cases prediction by using hybrid machine learning and beetle antennae search approach
Miodrag Zivkovic,Nebojsa Bacanin,K. Venkatachalam,Anand Nayyar,Aleksandar Djordjevic,Ivana Strumberger,Fadi Al-Turjman +6 more
TL;DR: Wang et al. as mentioned in this paper proposed a hybrid approach between machine learning, adaptive neuro-fuzzy inference system and enhanced beetle antennae search swarm intelligence metaheuristics to predict the number of the COVID-19 cases.
Journal ArticleDOI
Improved bat algorithm applied to multilevel image thresholding.
Adis Alihodzic,Milan Tuba +1 more
TL;DR: The new proposed improved bat algorithm proved to be better than five other state-of-the-art algorithms, improving quality of results in all cases and significantly improving convergence speed.
Journal ArticleDOI
A comprehensive review of deterministic models and applications for mean-variance portfolio optimization
TL;DR: A comprehensive survey on the deterministic models and applications suggested for mean-variance portfolio optimization in which several variants of this model as well as additional real-life constraints are studied.
Journal ArticleDOI
A modified firefly algorithm for global minimum optimization
Aref Yelghi,Cemal Köse +1 more
TL;DR: The Tidal Force formula has been applied to modify the Firefly algorithm, which describes the effect of a massive body that gravitationally affects another massive body, and it outperforms the other existing modified Firefly algorithms.
Journal ArticleDOI
A survey of swarm intelligence for portfolio optimization: Algorithms and applications
Okkes Ertenlice,Can Berk Kalayci +1 more
TL;DR: This study provides a review of the SI contributions to PO literature and identifies areas of opportunity for future research.
References
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Proceedings ArticleDOI
Cuckoo Search via Lévy flights
Xin-She Yang,Suash Deb +1 more
TL;DR: A new meta-heuristic algorithm, called Cuckoo Search (CS), is formulated, based on the obligate brood parasitic behaviour of some cuckoo species in combination with the Lévy flight behaviour ofSome birds and fruit flies, for solving optimization problems.
Journal ArticleDOI
An efficient constraint handling method for genetic algorithms
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