Preprint Article Version 1 Preserved in Portico This version is not peer-reviewed

Large Scale Portfolio Optimization Using Biogeography-Based Optimization

Version 1 : Received: 21 June 2023 / Approved: 22 June 2023 / Online: 22 June 2023 (12:34:58 CEST)

A peer-reviewed article of this Preprint also exists.

Wijaya, W.; Sidarto, K.A. Large-Scale Portfolio Optimization Using Biogeography-Based Optimization. Int. J. Financial Stud. 2023, 11, 125. Wijaya, W.; Sidarto, K.A. Large-Scale Portfolio Optimization Using Biogeography-Based Optimization. Int. J. Financial Stud. 2023, 11, 125.

Abstract

Portfolio optimization is a mathematical formulation whose objective is to maximize returns while minimizing risks. A lot of improvement in the model has been made, including adding practical constraints. With the growing of shares trading, the problem becomes dimensionally very large. In this paper, we propose the usage of modified Biogeography-Based Optimization to solve the large scale constrained portfolio optimization. Results indicate the effectiveness of the method used.

Keywords

biogeography-based optimization; constrained optimization; mean-variance model

Subject

Computer Science and Mathematics, Data Structures, Algorithms and Complexity

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