Portfolio Optimization Using Particle Swarm Optimization and Invasive Weed Optimization

Abstract

The problem of efficient asset allocation is an important part of financial decision-making, and it can be done by the use of portfolio optimization. In this study, we considered mean�variance and mean�semivariance portfolio models. Our aim is to find an efficient portfolio with minimum risk for a fixed lower bound of return. We solved those problems by particle swarm optimization (PSO) and invasive weed optimization (IWO). The results show that IWO produces lower risks and higher return values as compared to PSO. � Springer Nature Singapore Pte Ltd. 2020.