Paper:

# A Hybrid Particle Swarm Optimization Approach and its Application to Solving Portfolio Selection Problems

## Shamshul Bahar Yaakob^{*,**} and Junzo Watada^{*}

^{*}Graduate School of IPS, Waseda University, 2-7 Hibikino, Wakamatsu, Kitakyushu 808-0135, Japan

^{**}School of Electrical Systems Engineering, Universiti Malaysia Perlis, 02600 Perlis Malaysia

*J. Adv. Comput. Intell. Intell. Inform.*, Vol.15 No.4, pp. 473-478, 2011.

- [1] H. Markowitz, “Portfolio selection,” J. of Finance, Vol.7, No.1, pp. 77-91, 1952.
- [2] D. G. Luenberger, “Investment sciences,” Oxford University press, New York, pp. 137-162 and 481-483, 1998.
- [3] J. Board and C. Sutcliffe, “The application of operation research technique to financial markets,” Stochastic programming e-print series, 1999.

http://www.speps.info - [4] A. F. Perold, “Large-scale portfolio optimization,” Management Sciences, Vol.30, No.10, pp. 1143-1160, 1984.
- [5] F. J. Jones, “An overview of institutional fixed income strategies,” Professional perspectives on fixed income portfolio management, John Wiley & Sons, pp. 1-13, 2000.
- [6] T.-J. Chang, N.Meade, E. Beasley, and M. Sharaiha, “Heuristics for cardinality constrained portfolio optimization,” Computer & Operational Research, Vol.27, No.13, pp. 1271-1302, 2000.
- [7] A. Schaerf, “Local search techniques for constrained portfolio selection problems,” Computational Economics, Vol.20, No.3, pp. 177-190, 2002.
- [8] Y. Crama and M. Schyns, “Simulated annealing for complex portfolio selection problems,” European J. of Operational Research, Vol.150, No.3, pp. 546-571, 2003.
- [9] S. B. Yaakob and J. Watada, “Maintenance of a traffic signal lights based on portfolio model,” Int. J. of Simulation Systems, Science & Technology, Vol.9, No.2, pp. 11-22, 2008.
- [10] A. Fernandez and S. Gomez, “Portfolio selection using neural networks, Computers & Operations Research,” Vol.34, No.4, pp. 1177-1191, 2007.
- [11] J. Kennedy and R. C. Eberhart, “Particle swarm optimization,” Proc. of the IEEE Int. Conf. on Neural Network, pp. 1942-1948, 1995.
- [12] R. Eberhart and J. Kennedy, “A new optimizer using particle swarm theory,” Proc. 6th Int. Symposium on Micro Machine and Human Science, pp. 39-43, 1995.
- [13] A. Salman, I. Ahmad, and S. Al-Madani, “Particle swarm optimization for task assignment problem,” J. of Microprocessors and Microsystems, Vol.26, No.8, pp. 363-371, 2002.
- [14] D. Y. Sha and C.-Y. Hsu, “A hybrid particle swarm optimization for job shop scheduling problem,” J. of Computers & Industrial Engineering, Vol.51, No.4, pp. 791-808, 2006.
- [15] P. Angeline, “Evolutionary optimization versus particle swarm optimization philosophy and performance difference,” Proc. 7th Annual Conf. Evolutionary Program, pp. 601-610, 1998.
- [16] R. C. Eberhart and Y. Shi, “Comparison between genetic algorithms and particle swarm optimization,” Evolutionary Programming VII, New York: Springer-Verlag, Vol.1447, Lecture Notes in Computer Science, pp. 611-616, 1998.
- [17] F. Van den Bergh and A. P. Engelbrecht, “A new locally convergent particle swarm optimizer,” Proc. IEEE Int. Conf. Systems, Man, Cybernetics, pp. 96-101, 2002.
- [18] M. Lovbjerg, T. K. Rasmussen, and T. Krink, “Hybrid particle swarm optimizer with breeding and subpopulations,” Proc. Genet. Evolutionary Computing Conf., Vol.1, pp. 469-476, 2001.
- [19] Y. Shi and R. Eberhart, “Empirical study of particle swarm optimization,” Proc. of the Congress on Evolutionary Computation (CEC99), pp. 1945-1950, 1999.
- [20] W. Chen, R.-T. Zhang, Y.-M. Cai, and F.-S. Xu, “Particle swarm optimization for constrained portfolio selection problems,” Proc. of the Fifth Int. Conf. on Machine Learning and Cybernetics, pp. 2425-2429, 2006.
- [21] A. A. A. Esmin, G. Lambert-Torres, and A. C. Zambroni de Souza, “A hybrid particle swarm optimization applied to loss power minimization,” IEEE Trans. on Power Systems, Vol.20, No.2, pp. 859-866, 2005.
- [22] T. O. Ting, M. V. C. Rao, and C. K. Loo, “A novel approach for unit commitment problem via an effective hybrid particle swarm optimization,” IEEE Trans. on Power Systems, Vol.21, No.1, pp. 411-418, 2006.
- [23] A. P. Engelbrecht, “Computational Intelligence,” John Wiley, 2002.

This article is published under a Creative Commons Attribution-NoDerivatives 4.0 Internationa License.