| dc.contributor | 資管系 | en_US |
| dc.creator (作者) | 林我聰 | zh_TW |
| dc.creator (作者) | Deng, Guang-Feng; Lin, Woo-Tsong | en_US |
| dc.date (日期) | 2010-11 | en_US |
| dc.date.accessioned | 18-Feb-2014 15:18:20 (UTC+8) | - |
| dc.date.available | 18-Feb-2014 15:18:20 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Feb-2014 15:18:20 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/63949 | - |
| dc.description.abstract (摘要) | This work presents Particle Swarm Optimization (PSO), a collaborative population-based swarm intelligent algorithm for solving the cardinality constraints portfolio optimization problem (CCPO problem). To solve the CCPO problem, the proposed improved PSO increases exploration in the initial search steps and improves convergence speed in the final search steps. Numerical solutions are obtained for five analyses of weekly price data for the following indices for the period March, 1992 to September, 1997: Hang Seng 31 in Hong Kong, DAX 100 in Germany, FTSE 100 in UK, S&P 100 in USA and Nikkei 225 in Japan. The computational test results indicate that the proposed PSO outperformed basic PSO algorithm, genetic algorithm (GA), simulated annealing (SA), and tabu search (TS) in most cases. | en_US |
| dc.format.extent | 262490 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Lecture Notes in Artificial Intelligence, 6423, 406-415 | en_US |
| dc.source.uri (資料來源) | http://link.springer.com/chapter/10.1007%2F978-3-642-16696-9_44 | en_US |
| dc.subject (關鍵詞) | Particle swarm optimization;cardinality constrained portfolio optimization problem;Markowitz mean-variance model;nonlinear mixed quadratic programming problem;swarm intelligence | en_US |
| dc.title (題名) | Swarm Intelligence for Cardinality-Constrained Portfolio Problems | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1007/978-3-642-16696-9_44 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1007/978-3-642-16696-9_44 | en_US |
