An artificial bee colony algorithm with feasibility enforcement and infeasibility toleration procedures for cardinality constrained portfolio optimization

作者：

Highlights：

• The cardinality constrained portfolio optimization problem is considered.

• An integrated approach based on artificial bee colony algorithm is developed.

• A number of benchmark problems are solved and the results are compared.

• Computational results confirm the effectiveness of the solution methodology.

摘要

•The cardinality constrained portfolio optimization problem is considered.•An integrated approach based on artificial bee colony algorithm is developed.•A number of benchmark problems are solved and the results are compared.•Computational results confirm the effectiveness of the solution methodology.

论文关键词：Portfolio optimization,Cardinality constraints,Metaheuristics,Swarm intelligence,Artificial bee colony,Infeasibility toleration

论文评审过程：Received 24 March 2017, Revised 6 May 2017, Accepted 7 May 2017, Available online 10 May 2017, Version of Record 17 May 2017.

论文官网地址：https://doi.org/10.1016/j.eswa.2017.05.018