Abstract
Recently, bacterial foraging optimizer (BFO) is gaining popularity in the community of researchers because of its efficiency in solving some real-world optimization problems. But very little research work has been undertaken to deal with portfolio optimization problem using BFO approach. This article comes up with a novel approach by involving a linear variation of chemotaxis step in the basic BFO for finding the optimal portfolios. Our proposed approach is evaluated on application on an improved portfolio optimization model considering both the market and liquidity risk. The experimental results demonstrate the positive effects of the strategy.
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Niu, B., Xiao, H., Tan, L., Li, L., Rao, J. (2010). Modified Bacterial Foraging Optimizer for Liquidity Risk Portfolio Optimization. In: Li, K., Li, X., Ma, S., Irwin, G.W. (eds) Life System Modeling and Intelligent Computing. ICSEE LSMS 2010 2010. Communications in Computer and Information Science, vol 98. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-15859-9_3
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DOI: https://doi.org/10.1007/978-3-642-15859-9_3
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-15858-2
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