PORTFOLIO OPTIMIZATION BY USING THE SYMBIOTIC ORGANISMS SEARCH

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MOHAMMADI EMRAN; MOHAMMADI SEYED ERFAN; RAMTINNIA SHAHIN

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Journal: FINANCIAL RESEARCH Year:2016 | Volume:18 | Issue:2 Page(s): 369-390

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Information Journal Paper

Title

PORTFOLIO OPTIMIZATION BY USING THE SYMBIOTIC ORGANISMS SEARCH

Author(s)

MOHAMMADI EMRAN | MOHAMMADI SEYED ERFAN | RAMTINNIA SHAHIN | Issue Writer Certificate

Keywords

CARDINALITY CONSTRAINTQ2

META-HEURISTIC METHODSQ2

PORTFOLIO OPTIMIZATIONQ2

SYMBIOTIC ORGANISMS SEARCHQ2

Abstract

The PORTFOLIO OPTIMIZATION has become one of the most important issues for the companies operating in the capital market. When the real-world conditions and restrictions, including CARDINALITY CONSTRAINT are considered in PORTFOLIO OPTIMIZATION, the problem is not easily solvable. Therefore using the META-HEURISTIC METHODS will be considered. Regarding this fact, the main purpose of this paper is to solve PORTFOLIO OPTIMIZATION problem by using an entirely new and emerging meta-heuristic algorithm that called SYMBIOTIC ORGANISMS SEARCH, while considering the limitations of the real world in the formation of portfolio. This algorithm is inspired by the symbiotic relationship in diverse ecosystems that exist in nature, and introduced in 2014. Finally, the model used in this study has been solved with real data and the results have been analyzed. The results of this paper demonstrate that the symbiotic organism search has been successful in PORTFOLIO OPTIMIZATION and has been able to properly interact with the actual limitations of the market.

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APA: Copy

MOHAMMADI, EMRAN, MOHAMMADI, SEYED ERFAN, & RAMTINNIA, SHAHIN. (2016). PORTFOLIO OPTIMIZATION BY USING THE SYMBIOTIC ORGANISMS SEARCH. FINANCIAL RESEARCH, 18(2 ), 369-390. SID. https://sid.ir/paper/91226/en

Vancouver: Copy

MOHAMMADI EMRAN, MOHAMMADI SEYED ERFAN, RAMTINNIA SHAHIN. PORTFOLIO OPTIMIZATION BY USING THE SYMBIOTIC ORGANISMS SEARCH. FINANCIAL RESEARCH[Internet]. 2016;18(2 ):369-390. Available from: https://sid.ir/paper/91226/en

IEEE: Copy

EMRAN MOHAMMADI, SEYED ERFAN MOHAMMADI, and SHAHIN RAMTINNIA, “PORTFOLIO OPTIMIZATION BY USING THE SYMBIOTIC ORGANISMS SEARCH,” FINANCIAL RESEARCH, vol. 18, no. 2 , pp. 369–390, 2016, [Online]. Available: https://sid.ir/paper/91226/en

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