Abstract
The beetle antennae search (BAS) algorithm is a memetic meta-heuristic optimization algorithm capable of solving combinatorial optimization problems. In this paper, the binary version of BAS (BBAS) is modified by adding a V-shaped transfer function. In this way, we introduce the V-shaped transfer function-based binary BAS (VSBAS) algorithm, which is a more effective and efficient version of BBAS in the case of large input data. Applications using real-world data sets on a binary Markowitz-based portfolio selection (BMPS) problem validate the excellent performance of VSBAS on large input data and demonstrate that it is a marvelous alternative against other ordinary memetic meta-heuristic optimization algorithms. Note that, because the meta-heuristic algorithms compared in this paper are directly applicable only to unconstrained optimization, the penalty function method was used to keep their solutions in the feasible district. In order to support and promote the findings of this work, we have constructed a complete MATLAB package for the interested user, which is freely available through GitHub.
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Data Availability
The data used in the paper entitled “V-Shaped BAS: Applications on large portfolios selection problem”, are taken from the Yahoo finance in the following link: https://finance.yahoo.com/
Code availability
The complete development and implementation of the computational methods proposed in the paper entitled “V-Shaped BAS: Applications on large portfolios selection problem”, can be obtained from GitHub in the following link: https://github.com/SDMourtas/BMPS
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Spyridon D. Mourtas: Conceptualization, Methodology, Software, Validation, Formal analysis, Investigation, Writing-Original Draft. Vasilios N. Katsikis: Conceptualization, Methodology, Software, Validation, Formal analysis, Investigation, Writing-Original Draft.
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The authors Spyridon D. Mourtas and Vasilios N. Katsikis of the paper entitled “V-Shaped BAS: Applications on large portfolios selection problem”, declare that there is no conflict of interest.
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Mourtas, S.D., Katsikis, V.N. V-Shaped BAS: Applications on Large Portfolios Selection Problem. Comput Econ 60, 1353–1373 (2022). https://doi.org/10.1007/s10614-021-10184-9
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DOI: https://doi.org/10.1007/s10614-021-10184-9