Research on Improvement of Artificial Bee Colony Algorithm for Portfolio Problems
ZHANG Yi
Abstract：Based on the idea of artificial bees colony,the mean-variance(CCMV)model with cardinality constraint in portfo?lio problem is solved in this paper. In the solving process,a FABC algorithm which can always get feasible solution is designed for CCMV model. Then the updated equation of FABC is improved,the guidance of the current optimal solution is added,and a faster convergence rate of IFABC algorithm is gotten. Finally,IFABC algorithm is further improved based on quadratic programming,and a better QFABC algorithm is proposed. Test the market data,and compare the performance of the three algorithms,the results show that QFABC optimization effect is the best,but the running time is long;The optimization effect of IFABC algorithm is close to that of QFABC algorithm and the running time is short.
Keywords：artificial bees colonyportfolio problemquadratic programming
Publication Date：2019-01-01
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：6( 1869-1873,1894 )