A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures.
Massimiliano KaucicFilippo PiccottoGabriele SbaizPublished in: Comput. Manag. Sci. (2024)
Keyphrases
- optimization algorithm
- long run
- short run
- multi objective
- honey bee
- differential evolution
- optimization method
- evolutionary multi objective
- optimal policy
- particle swarm optimization pso
- particle swarm optimization
- global optima
- swarm intelligence
- hybrid optimization algorithm
- particle swarm
- evolutionary algorithm
- exchange rate
- artificial bee colony
- sharpe ratio
- portfolio management
- decision making
- ant colony optimization
- search space