This book explains the theoretical structure of particle swarm optimization (PSO) and focuses on the application of PSO to portfolio optimization problems. The general goal of portfolio optimization is to find a solution that provides the highest expected return at each level of portfolio risk. According to H. Markowitz’s portfolio selection theory, as new assets are added to an investment portfolio, the total risk of the portfolio’s decreases depending on the correlations of asset returns, while the expected return on the portfolio represents the weighted average of the expected returns for each asset. The book explains PSO in detail and demonstrates how to implement Markowitz’s portfolio optimization approach using PSO. In addition, it expands on the Markowitz model and seeks to improve the solution-finding process with the aid of various algorithms. In short, the book provides researchers, teachers, engineers, managers and practitioners with many tools they need to apply the PSO technique to portfolio optimization.
| ISBN: | 9783030702830 |
| Publication date: | 14th May 2022 |
| Author: | Burcu Adgüzel Mercangöz |
| Publisher: | Springer Nature Switzerland AG |
| Format: | Paperback |
| Pagination: | 351 pages |
| Series: | International Series in Operations Research & Management Science |
| Genres: |
Operational research Management and management techniques Probability and statistics Finance and the finance industry |
This book explains the theoretical structure of particle swarm optimization (PSO) and focuses on the application of PSO to portfolio optimization problems. The general goal of portfolio optimization is to find a solution that provides the highest expected return at each level of portfolio risk. According to H. Markowitz’s portfolio selection theory, as new assets are added to an investment portfolio, the total risk of the portfolio’s decreases depending on the correlations of asset returns, while the expected return on the portfolio represents the weighted average of the expected returns for each asset. The book explains PSO in detail and demonstrates how to implement Markowitz’s portfolio optimization approach using PSO. In addition, it expands on the Markowitz model and seeks to improve the solution-finding process with the aid of various algorithms. In short, the book provides researchers, teachers, engineers, managers and practitioners with many tools they need to apply the PSO technique to portfolio optimization.
Applying Particle Swarm Optimization features in the following genres: Operational research, Management and management techniques, Probability and statistics, Finance and the finance industry
Applying Particle Swarm Optimization is available in Paperback, Hardback
Applying Particle Swarm Optimization was written by Burcu Adgüzel Mercangöz and published by Springer Nature Switzerland AG
Applying Particle Swarm Optimization has 351 pages
Yes it is part of International Series in Operations Research & Management Science series
£116.99