PORTFOLIO OPTIMIZATION WITH SIMULATED ANNEALING ALGORITHM

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QODSI SAEID; TEHRANI REZA; BASHIRI MAHDI

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Journal: FINANCIAL RESEARCH Year:2015 | Volume:17 | Issue:1 Page(s): 141-158

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Information Journal Paper

Title

PORTFOLIO OPTIMIZATION WITH SIMULATED ANNEALING ALGORITHM

Author(s)

QODSI SAEID | TEHRANI REZA | BASHIRI MAHDI | Issue Writer Certificate

Keywords

CARDINALITY CONSTRAINSQ1

EFFICIENT FRONTIERQ2

MEAN-VARIANCE MODELQ2

OPTIMIZATION PORTFOLIOSQ3

SIMULATED ANNEALINGQ3

Abstract

The Markowitz issue of optimization can’t be solved by precise mathematical methods such as second order schematization, when real world condition and limitations are considered. On the other hand, most managers prefer to manage a small Portfolio of available assets in place of a huge Portfolio. It can be analogized to cardinal constrains, that is, constrains related to minimum and maximum current assets on Portfolios. This study aims to solve the problem of optimizing Portfolios with CARDINALITY CONSTRAINS, using SIMULATED ANNEALING algorithm. Therefore, by using the information of 50 companies which have been more active in Tehran’s exchange stock from April 2010 to April 2012, Portfolios’ EFFICIENT FRONTIER has been supposed from 10 to 50. Results shows that first, SIMULATED ANNEALING algorithm has been successful in solving the above problem, and second, by selecting shares appropriately and determining suitable weights from it, smaller Portfolios with more suitable performances can be selected.

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APA: Copy

QODSI, SAEID, TEHRANI, REZA, & BASHIRI, MAHDI. (2015). PORTFOLIO OPTIMIZATION WITH SIMULATED ANNEALING ALGORITHM. FINANCIAL RESEARCH, 17(1 ), 141-158. SID. https://sid.ir/paper/91188/en

Vancouver: Copy

QODSI SAEID, TEHRANI REZA, BASHIRI MAHDI. PORTFOLIO OPTIMIZATION WITH SIMULATED ANNEALING ALGORITHM. FINANCIAL RESEARCH[Internet]. 2015;17(1 ):141-158. Available from: https://sid.ir/paper/91188/en

IEEE: Copy

SAEID QODSI, REZA TEHRANI, and MAHDI BASHIRI, “PORTFOLIO OPTIMIZATION WITH SIMULATED ANNEALING ALGORITHM,” FINANCIAL RESEARCH, vol. 17, no. 1 , pp. 141–158, 2015, [Online]. Available: https://sid.ir/paper/91188/en

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