1Student, Kharazmi University of Tehran
2Student, Amirkabir University of Technology
3Economics Researcher, University of Tehran
4Student, University of Lincoln
5Professor, Kharazmi University of Tehran
*correspondence: E-mail for za.afchangi@gmail.com
Online published on 24 January, 2017.
In this article, particle-swarm algorithm is used for optimizing Markowitz portfolio according to different criteria to measure the risk such as mean variance, the mean of half-variance and the mean of absolute deviation, as well as the limitations of the real market such as fixed number of shares and limited purchases. To evaluate the ability to solve these problems by using this algorithm, the real data of 186 companies active in the Tehran Stock Exchange from June 2006 to June 2010 are used. The results of this study indicate the successful performance of PSO algorithm in calculating Markowitz efficient frontier in different definitions of risk measurement.
Particle Swarm Optimization, Portfolio, Mean-Variance, Semi-Variance, Mean Absolute Deviation
