IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v483y2017icp1-8.html
   My bibliography  Save this article

Fireworks algorithm for mean-VaR/CVaR models

Author

Listed:
  • Zhang, Tingting
  • Liu, Zhifeng

Abstract

Intelligent algorithms have been widely applied to portfolio optimization problems. In this paper, we introduce a novel intelligent algorithm, named fireworks algorithm, to solve the mean-VaR/CVaR model for the first time. The results show that, compared with the classical genetic algorithm, fireworks algorithm not only improves the optimization accuracy and the optimization speed, but also makes the optimal solution more stable. We repeat our experiments at different confidence levels and different degrees of risk aversion, and the results are robust. It suggests that fireworks algorithm has more advantages than genetic algorithm in solving the portfolio optimization problem, and it is feasible and promising to apply it into this field.

Suggested Citation

  • Zhang, Tingting & Liu, Zhifeng, 2017. "Fireworks algorithm for mean-VaR/CVaR models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 1-8.
    • Handle: RePEc:eee:phsmap:v:483:y:2017:i:c:p:1-8
    DOI: 10.1016/j.physa.2017.04.036
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437117303394
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/j.physa.2017.04.036?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Doerner, K.F. & Gutjahr, W.J. & Hartl, R.F. & Strauss, C. & Stummer, C., 2006. "Pareto ant colony optimization with ILP preprocessing in multiobjective project portfolio selection," European Journal of Operational Research, Elsevier, vol. 171(3), pages 830-841, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dai, Zhifeng & Wang, Fei, 2019. "Sparse and robust mean–variance portfolio optimization problems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1371-1378.
    2. Wu, Jiekang & Wu, Zhijiang & Wu, Fan & Tang, Huiling & Mao, Xiaoming, 2018. "CVaR risk-based optimization framework for renewable energy management in distribution systems with DGs and EVs," Energy, Elsevier, vol. 143(C), pages 323-336.
    3. Gong, Xu & Lin, Boqiang, 2019. "Modeling stock market volatility using new HAR-type models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 194-211.
    4. Gong, Xu & Lin, Boqiang, 2018. "Structural changes and out-of-sample prediction of realized range-based variance in the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 27-39.
    5. Xie, Nan & Wang, Zongrun & Chen, Sicen & Gong, Xu, 2019. "Forecasting downside risk in China’s stock market based on high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 530-541.
    6. Cerqueti, Roy & Giacalone, Massimiliano & Panarello, Demetrio, 2019. "A Generalized Error Distribution Copula-based method for portfolios risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 687-695.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Christian Meier & Dennis Kundisch & Jochen Willeke, 2017. "Is it Worth the Effort?," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 59(2), pages 81-95, April.
    2. Pérez, Fátima & Gómez, Trinidad & Caballero, Rafael & Liern, Vicente, 2018. "Project portfolio selection and planning with fuzzy constraints," Technological Forecasting and Social Change, Elsevier, vol. 131(C), pages 117-129.
    3. Mishra, Sabyasachee & Khasnabis, Snehamay & Swain, Subrat, 2013. "Multi-entity perspective transportation infrastructure investment decision making," Transport Policy, Elsevier, vol. 30(C), pages 1-12.
    4. Mohammad Asghari & Seyed Mohammad Javad Mirzapour Al-E-Hashem & Yacine Rekik, 2022. "Environmental and social implications of incorporating carpooling service on a customized bus system," Post-Print hal-03598768, HAL.
    5. Vahid Nooraie, S. & Parast, Mahour Mellat, 2016. "Mitigating supply chain disruptions through the assessment of trade-offs among risks, costs and investments in capabilities," International Journal of Production Economics, Elsevier, vol. 171(P1), pages 8-21.
    6. Javier Panadero & Jana Doering & Renatas Kizys & Angel A. Juan & Angels Fito, 2020. "A variable neighborhood search simheuristic for project portfolio selection under uncertainty," Journal of Heuristics, Springer, vol. 26(3), pages 353-375, June.
    7. Doerner, K.F. & Gutjahr, W.J. & Hartl, R.F. & Strauss, C. & Stummer, C., 2008. "Nature-inspired metaheuristics for multiobjective activity crashing," Omega, Elsevier, vol. 36(6), pages 1019-1037, December.
    8. Jourdan, L. & Basseur, M. & Talbi, E.-G., 2009. "Hybridizing exact methods and metaheuristics: A taxonomy," European Journal of Operational Research, Elsevier, vol. 199(3), pages 620-629, December.
    9. Farhad Hassanzadeh & Hamid Nemati & Minghe Sun, 2013. "Robust Optimization for Interactive Multiobjective Programming with Imprecise Information Applied to R&D Project Portfolio Selection," Working Papers 0194mss, College of Business, University of Texas at San Antonio.
    10. Maciej Nowak & Tadeusz Trzaskalik, 2022. "A trade-off multiobjective dynamic programming procedure and its application to project portfolio selection," Annals of Operations Research, Springer, vol. 311(2), pages 1155-1181, April.
    11. Ahmadi, Sadra & Yeh, Chung-Hsing & Martin, Rodney & Papageorgiou, Elpiniki, 2015. "Optimizing ERP readiness improvements under budgetary constraints," International Journal of Production Economics, Elsevier, vol. 161(C), pages 105-115.
    12. Barbati, Maria & Corrente, Salvatore & Greco, Salvatore, 2020. "A general space-time model for combinatorial optimization problems (and not only)," Omega, Elsevier, vol. 96(C).
    13. Hassanzadeh, Farhad & Nemati, Hamid & Sun, Minghe, 2014. "Robust optimization for interactive multiobjective programming with imprecise information applied to R&D project portfolio selection," European Journal of Operational Research, Elsevier, vol. 238(1), pages 41-53.
    14. Brunelli, Matteo & Corrente, Salvatore, 2024. "Modeling criteria and project interactions in portfolio decision analysis with the Choquet integral," Omega, Elsevier, vol. 126(C).
    15. André, Francisco J. & Cardenete, M. Alejandro, 2009. "Defining efficient policies in a general equilibrium model: a multi-objective approach," Socio-Economic Planning Sciences, Elsevier, vol. 43(3), pages 192-200, September.
    16. Moncayo-Martínez, Luis A. & Zhang, David Z., 2013. "Optimising safety stock placement and lead time in an assembly supply chain using bi-objective MAX–MIN ant system," International Journal of Production Economics, Elsevier, vol. 145(1), pages 18-28.
    17. Doering, Jana & Kizys, Renatas & Juan, Angel A. & Fitó, Àngels & Polat, Onur, 2019. "Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends," Operations Research Perspectives, Elsevier, vol. 6(C).
    18. Marion S. Rauner & Walter J. Gutjahr & Kurt Heidenberger & Joachim Wagner & Joseph Pasia, 2010. "Dynamic Policy Modeling for Chronic Diseases: Metaheuristic-Based Identification of Pareto-Optimal Screening Strategies," Operations Research, INFORMS, vol. 58(5), pages 1269-1286, October.
    19. Karl F. Doerner & Vittorio Maniezzo, 2018. "Metaheuristic search techniques for multi-objective and stochastic problems: a history of the inventions of Walter J. Gutjahr in the past 22 years," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 26(2), pages 331-356, June.
    20. Fausto Balderas & Eduardo Fernandez & Claudia Gomez-Santillan & Nelson Rangel-Valdez & Laura Cruz, 2019. "An Interval-Based Approach for Evolutionary Multi-Objective Optimization of Project Portfolios," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 1317-1358, July.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:483:y:2017:i:c:p:1-8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.