Advances and Applications in Statistics
Volume 53, Issue 3, Pages 225 - 241
(September 2018) http://dx.doi.org/10.17654/AS053030225 |
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PORTFOLIO OPTIMIZATION USING WIND DRIVEN OPTIMIZATION TECHNIQUE
Kshma Kaushal and Sukhdev Singh
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Abstract: This paper presents the design of optimal portfolio using a new stochastic nature inspired stochastic optimization technique – wind driven optimization (WDO). The stocks of top 80 Indian Companies listed on Bombay Stock Exchange (BSE) have been selected on the basis of market capitalization. A fitness function has been modeled to minimize risk and maximize the return of the portfolio constructed. The optimal weights indicating the amount of money to be invested in each stock has been calculated using WDO. Three different sets of portfolio have been constructed and optimized. The results obtained using WDO have been compared with results obtained using genetic algorithm (GA) and it has been found that WDO outperforms GA for portfolio optimization problem. |
Keywords and phrases: stochastic techniques, investment management, portfolio optimization. |
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