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Published in:
2011 | OriginalPaper | Chapter
The Portfolio Risk Analysis Based on Dynamic Particle Swarm Optimization Algorithm
Author : Qin Suntao
Published in: Modeling Risk Management for Resources and Environment in China
Publisher: Springer Berlin Heidelberg
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Abstract
Risk prediction about investor portfolio holdings can provide powerful test of asset pricing theories. In this paper, we present dynamic Particle Swarm Optimization (PSO) algorithm to Markowitz portfolio selection problem, and improved the algorithm in pseudo code as well as implement in computer program. Furthermore in order to prevent blindness in operation and selection of investment, we tried to make risk least and seek revenue most in investment and so do in the program. As used in practice, it showed great application value.