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Credit portfolio management using two-level particle swarm optimization

โœ Scribed by Lu, Fu-Qiang; Huang, Min; Ching, Wai-Ki; Siu, Tak Kuen

Book ID
120381499
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
732 KB
Volume
237
Category
Article
ISSN
0020-0255

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โœ V. A. F. Dallagnol; J. van den Berg; L. Mous ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 522 KB

In this paper, it is shown a comparison of the application of particle swarm optimization and genetic algorithms to portfolio management, in a constrained portfolio optimization problem where no short sales are allowed. The objective function to be minimized is the value at risk calculated using his