MEAN-SEMIVARIANCE PORTFOLIO OPTIMIZATION USING HARMONY SEARCH METHOD

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RAEI REZA; MOHAMMADI SHAPOOR; ALIBEIKI HEDAYAT

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Paper Information

Journal: Management Research in Iran Year:2011 | Volume:15 | Issue:3 (72) Page(s): 105-128

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Information Journal Paper

Title

MEAN-SEMIVARIANCE PORTFOLIO OPTIMIZATION USING HARMONY SEARCH METHOD

Author(s)

RAEI REZA | MOHAMMADI SHAPOOR | ALIBEIKI HEDAYAT | Issue Writer Certificate

Keywords

PORTFOLIO OPTIMIZATIONQ2

HARMONY SEARCH TECHNIQUEQ2

MODERN PORTFOLIO THEORYQ3

MEAN-SEMIVARIANCE MODELQ2

EFFICIENT FRONTIERQ2

Abstract

Academics and practitioners usually optimize portfolios using the mean-variance approach than the mean-semivariance approach. Due to the fact that semivariance is often considered a more plausible measure of risk than variance, in this paper, semivariance was measured as the main indicator of risk. The PORTFOLIO OPTIMIZATION problem is a mixed quadratic and integer programming problem for which efficient algorithms do not exist. This study presents a heuristic approach to PORTFOLIO OPTIMIZATION problem using Harmony Search Algorithm (HS). The HS method is inspired by the underlying principles of the musicians’ improvisation of the harmony. The test data set is the daily prices of 20 companies from March 2006 to September 2008 from the TEPIX in Iran. The results showed that Harmony search approach is successful in constrained PORTFOLIO OPTIMIZATION to find the optimum solutions at all levels of risk and return.

Cites

COMPARISON OF PARTICLE SWARM OPTIMIZATION AND TABU SEARCH ALGORITHMS FOR PORTFOLIO SELECTION PROBLEM

References

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APA: Copy

RAEI, REZA, MOHAMMADI, SHAPOOR, & ALIBEIKI, HEDAYAT. (2011). MEAN-SEMIVARIANCE PORTFOLIO OPTIMIZATION USING HARMONY SEARCH METHOD. MANAGEMENT RESEARCH IN IRAN (MODARES HUMAN SCIENCES), 15(3 (72)), 105-128. SID. https://sid.ir/paper/368182/en

Vancouver: Copy

RAEI REZA, MOHAMMADI SHAPOOR, ALIBEIKI HEDAYAT. MEAN-SEMIVARIANCE PORTFOLIO OPTIMIZATION USING HARMONY SEARCH METHOD. MANAGEMENT RESEARCH IN IRAN (MODARES HUMAN SCIENCES)[Internet]. 2011;15(3 (72)):105-128. Available from: https://sid.ir/paper/368182/en

IEEE: Copy

REZA RAEI, SHAPOOR MOHAMMADI, and HEDAYAT ALIBEIKI, “MEAN-SEMIVARIANCE PORTFOLIO OPTIMIZATION USING HARMONY SEARCH METHOD,” MANAGEMENT RESEARCH IN IRAN (MODARES HUMAN SCIENCES), vol. 15, no. 3 (72), pp. 105–128, 2011, [Online]. Available: https://sid.ir/paper/368182/en

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