Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.649380
Title: Solving cardinality constrained portfolio optimisation problem using genetic algorithms and ant colony optimisation
Author: Li, Yibo
ISNI:       0000 0004 5354 7886
Awarding Body: Brunel University
Current Institution: Brunel University
Date of Award: 2015
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Abstract:
In this thesis we consider solution approaches for the index tacking problem, in which we aim to reproduces the performance of a market index without purchasing all of the stocks that constitute the index. We solve the problem using three different solution approaches: Mixed Integer Programming (MIP), Genetic Algorithms (GAs), and Ant-colony Optimization (ACO) Algorithm by limiting the number of stocks that can be held. Each index is also assigned with different cardinalities to examine the change to the solution values. All of the solution approaches are tested by considering eight market indices. The smallest data set only consists of 31 stocks whereas the largest data set includes over 2000 stocks. The computational results from the MIP are used as the benchmark to measure the performance of the other solution approaches. The Computational results are presented for different solution approaches and conclusions are given. Finally, we implement post analysis and investigate the best tracking portfolios achieved from the three solution approaches. We summarise the findings of the investigation, and in turn, we further improve some of the algorithms. As the formulations of these problems are mixed-integer linear programs, we use the solver ‘Cplex’ to solve the problems. All of the programming is coded in AMPL.
Supervisor: Lucas, C. Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.649380  DOI: Not available
Keywords: Genetics algorithm ; Ant colony optimization ; Cardinality constrained portfolio optimization
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