2023
DOI: 10.11591/ijai.v12.i1.pp305-314
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An adaptive metaheuristic approach for risk-budgeted portfolio optimization

Abstract: <div align="left"><span lang="EN-US">An investment portfolio implies the assortment of assets invested in the commodity market and equity funds across global markets. The critical issue associated with any portfolio under its optimization entails the achievement of an optimal Sharpe ratio related to risk-return. This issue turns complex when risk budgeting and other investor preferential constraints are weighed in, rendering it difficult for direct solving via conventional approaches. As such, this… Show more

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Cited by 2 publications
(2 citation statements)
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“…Solving multimodal, high-dimensional, and non-linear real-world optimization problems requires well-designed efficiency optimization methods [1]- [5]. To address this challenge, many researchers have proposed evolutionary algorithms such as genetic algorithm (GA) [6], ant colony optimization (ACO) [7], particle swarm optimization (PSO) [8], [9], artificial bee colony algorithm (ABC) [10], and differential evolution (DE) [11], [12] for these problems.…”
Section: Introductionmentioning
confidence: 99%
“…Solving multimodal, high-dimensional, and non-linear real-world optimization problems requires well-designed efficiency optimization methods [1]- [5]. To address this challenge, many researchers have proposed evolutionary algorithms such as genetic algorithm (GA) [6], ant colony optimization (ACO) [7], particle swarm optimization (PSO) [8], [9], artificial bee colony algorithm (ABC) [10], and differential evolution (DE) [11], [12] for these problems.…”
Section: Introductionmentioning
confidence: 99%
“…A unique incentive function based on Sharpe ratios is suggested to assess further the designed systems' efficacy. Kumar et al [11] proposed a new method to solve the problem of restricted risk budgeted optimization by combining the hall of fame (HF) and differential evolution (DE) techniques with various crossovers (binomial, exponential, and arithmetic).…”
Section: Introductionmentioning
confidence: 99%