Two Stage Portfolio Selection and Optimization Model with the Hybrid Particle Swarm Optimization

• Main Authors: Zaheer, Kashif, Abd. Aziz, Mohd. Ismail, Kashif, Amber Nehan, Raza, Syed Muhammad Murshid
• Format: Article
• Language: English
• Published: Penerbit UTM Press 2018
• Subjects: QA Mathematics
• Online Access: http://eprints.utm.my/id/eprint/85077/1/MohdIsmailAbdAziz2018_TwoStagePortfolioSelectionandOptimizationModel.pdf; http://eprints.utm.my/id/eprint/85077/; http://dx.doi.org/10.11113/matematika.v34.n1.1001

The selection criteria play an important role in the portfolio optimization using any ratio model. In this paper, the authors have considered the mean return as profit and variance of return as risk on the asset return as selection criteria, as the first stage to optimize the selected portfolio. Fur...