Cuckoo search for portfolio optimization. (c2014)
Includes bibliographical references (leaves 42-44).
محفوظ في:
| المؤلف الرئيسي: | |
|---|---|
| التنسيق: | masterThesis |
| منشور في: |
2014
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| الموضوعات: | |
| الوصول للمادة أونلاين: | http://hdl.handle.net/10725/1941 https://doi.org/10.26756/th.2014.22 |
| الوسوم: |
إضافة وسم
لا توجد وسوم, كن أول من يضع وسما على هذه التسجيلة!
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| _version_ | 1864513457050615808 |
|---|---|
| author | Medawar, Mohammad Kamal El |
| author_facet | Medawar, Mohammad Kamal El |
| author_role | author |
| dc.creator.none.fl_str_mv | Medawar, Mohammad Kamal El |
| dc.date.none.fl_str_mv | 2014-04-28 2015-02-11T12:26:27Z 2015-02-11T12:26:27Z 2016-05-06 |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10725/1941 https://doi.org/10.26756/th.2014.22 |
| dc.language.none.fl_str_mv | en |
| dc.publisher.none.fl_str_mv | Lebanese American University |
| dc.rights.*.fl_str_mv | info:eu-repo/semantics/openAccess |
| dc.subject.none.fl_str_mv | Portfolio management -- Mathematical models Mathematical optimization -- Computer programs Investment analysis -- Mathematical models Computer algorithms Swarm intelligence Dissertations, Academic Lebanese American University -- Dissertations |
| dc.title.none.fl_str_mv | Cuckoo search for portfolio optimization. (c2014) |
| dc.type.none.fl_str_mv | Thesis info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/masterThesis |
| description | Includes bibliographical references (leaves 42-44). |
| eu_rights_str_mv | openAccess |
| format | masterThesis |
| id | LAURepo_ee299e31538bbdc71e95deb0da9d32c5 |
| language_invalid_str_mv | en |
| network_acronym_str | LAURepo |
| network_name_str | Lebanese American University repository |
| oai_identifier_str | oai:laur.lau.edu.lb:10725/1941 |
| publishDate | 2014 |
| publisher.none.fl_str_mv | Lebanese American University |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Cuckoo search for portfolio optimization. (c2014)Medawar, Mohammad Kamal ElPortfolio management -- Mathematical modelsMathematical optimization -- Computer programsInvestment analysis -- Mathematical modelsComputer algorithmsSwarm intelligenceDissertations, AcademicLebanese American University -- DissertationsIncludes bibliographical references (leaves 42-44).Portfolio optimization is the problem of allocating capital over different assets in order to maximize the return on the investment and/or minimize its risk, which has been a major concern for investors throughout the world. Markowitz developed the mean variance model as a part of the modern portfolio theory. When applying this theory to real-world problems, investors would force certain constraints on the solutions for a portfolio so that they meet their investment needs. Hence, the study of the portfolio optimization problem can be tackled in different ways according to the constraints to be included and the algorithms that will be applied. In this work, we design a meta-heuristic method based on Cuckoo Search (CS). Cuckoo Search is an optimization population based algorithm that imitates the reproduction strategy of cuckoos. The meta-heuristic is evaluated using different problem model parameters such as portfolio size, cardinality and lower and upper bounds. The dataset used is one provided the OR Library. The measurement of the solution quality in the results is compared with previous results and shows some improvement. For example, the CS algorithm outperformed two algorithms out of three in all datasets. In addition, it outperformed the third algorithm in 2 datasets out of 5.1 hard copy: x, 44 leaves; ill.; 30 cm. available at RNL.Lebanese American University2015-02-11T12:26:27Z2015-02-11T12:26:27Z2016-05-062014-04-28Thesisinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesishttp://hdl.handle.net/10725/1941https://doi.org/10.26756/th.2014.22eninfo:eu-repo/semantics/openAccessoai:laur.lau.edu.lb:10725/19412021-03-19T09:59:47Z |
| spellingShingle | Cuckoo search for portfolio optimization. (c2014) Medawar, Mohammad Kamal El Portfolio management -- Mathematical models Mathematical optimization -- Computer programs Investment analysis -- Mathematical models Computer algorithms Swarm intelligence Dissertations, Academic Lebanese American University -- Dissertations |
| status_str | publishedVersion |
| title | Cuckoo search for portfolio optimization. (c2014) |
| title_full | Cuckoo search for portfolio optimization. (c2014) |
| title_fullStr | Cuckoo search for portfolio optimization. (c2014) |
| title_full_unstemmed | Cuckoo search for portfolio optimization. (c2014) |
| title_short | Cuckoo search for portfolio optimization. (c2014) |
| title_sort | Cuckoo search for portfolio optimization. (c2014) |
| topic | Portfolio management -- Mathematical models Mathematical optimization -- Computer programs Investment analysis -- Mathematical models Computer algorithms Swarm intelligence Dissertations, Academic Lebanese American University -- Dissertations |
| url | http://hdl.handle.net/10725/1941 https://doi.org/10.26756/th.2014.22 |