Artificial Bee Colony Algorithm for Portfolio Optimization Problems

In this paper, a cardinality constrained mean-variance model is introduced for the portfolio optimization problems. This model is a mixed quadratic and integer programming problem for which efficient algorithms do not exist. The use of heuristic algorithms in this case is necessary. Some studies have investigated the cardinality constrained mean-variance model using heuristic algorithm. But almost none of these studies deal with artificial bee colony algorithm. The purpose of this paper is to use artificial bee colony algorithm to solve this model. The experimental results show that the proposed algorithm performs well for the portfolio optimization problem.

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