COMPARISON OF SIMULATED ANNEALING AND ELECTROMAGNETIC ALGORITHMS FOR SOLUTION OF EXTENDED PORTFOLIO MODEL

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SHAHANAGHI K.; BABAEI M.H.; HAMIDI M.R.; JAHANI E.

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Journal Paper

Paper Information

Journal: INTERNATIONAL JOURNAL OF APPLIED OPERATIONAL RESEARCH Year:2013 | Volume:3 | Issue:3 Page(s): 79-93

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Title

COMPARISON OF SIMULATED ANNEALING AND ELECTROMAGNETIC ALGORITHMS FOR SOLUTION OF EXTENDED PORTFOLIO MODEL

Author(s)

SHAHANAGHI K. | BABAEI M.H. | HAMIDI M.R. | JAHANI E. | Issue Writer Certificate

Keywords

PORTFOLIO

META-HEURISTIC

ELECTROMAGNETIC ALGORITHM

SIMULATED ANNEALING ALGORITHM

Abstract

This paper presents two META-HEURISTIC algorithms to solve an extended PORTFOLIO selection model. The extended model is based on the Markowitz's Model, aiming to minimize investment risk in a specified level of return. In order to get the Markowitz model close to the real conditions, different constraints were embedded on the model which resulted in a discrete and non-convex solution space.However, due to the NP-hard nature of the problem; two META-HEURISTIC algorithms were used, namely the simulated annealing and ELECTROMAGNETIC ALGORITHMs. Comparative result indicated high efficiency of the extended model and the solution presented by the ELECTROMAGNETIC ALGORITHM.

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APA: Copy

SHAHANAGHI, K., BABAEI, M.H., HAMIDI, M.R., & JAHANI, E.. (2013). COMPARISON OF SIMULATED ANNEALING AND ELECTROMAGNETIC ALGORITHMS FOR SOLUTION OF EXTENDED PORTFOLIO MODEL. INTERNATIONAL JOURNAL OF APPLIED OPERATIONAL RESEARCH, 3(3), 79-93. SID. https://sid.ir/paper/628561/en

Vancouver: Copy

SHAHANAGHI K., BABAEI M.H., HAMIDI M.R., JAHANI E.. COMPARISON OF SIMULATED ANNEALING AND ELECTROMAGNETIC ALGORITHMS FOR SOLUTION OF EXTENDED PORTFOLIO MODEL. INTERNATIONAL JOURNAL OF APPLIED OPERATIONAL RESEARCH[Internet]. 2013;3(3):79-93. Available from: https://sid.ir/paper/628561/en

IEEE: Copy

K. SHAHANAGHI, M.H. BABAEI, M.R. HAMIDI, and E. JAHANI, “COMPARISON OF SIMULATED ANNEALING AND ELECTROMAGNETIC ALGORITHMS FOR SOLUTION OF EXTENDED PORTFOLIO MODEL,” INTERNATIONAL JOURNAL OF APPLIED OPERATIONAL RESEARCH, vol. 3, no. 3, pp. 79–93, 2013, [Online]. Available: https://sid.ir/paper/628561/en

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