Swarm Intelligence Algorithms for Portfolio Optimization

Swarm Intelligence (SI) is a relatively new technology that takes its inspiration from the behavior of social insects and flocking animals In this paper, we focus on two main SI algorithms: Ant Colony Optimization (ACO) and Particle Swarm Optimization (PSO) An extension of ACO algorithm and a PSO algorithm has been implemented to solve the portfolio optimization problem, which is a continuous multi-objective optimization problem. The portfolio optimization model considered in this paper is based on the classical Markowitz mean-variance theory The results show ACO performs better than PSO in the case of small-scale and large-scale portfolio, but in the case of medium-scale portfolio, PSO performs a better than ACO technique.