A Multi-Strategy Adaptive Particle Swarm Optimization Algorithm for Solving Optimization Problem

Abstract

In solving the portfolio optimization problem, the mean-semivariance (MSV) model is more complicated and time-consuming, and their relations are unbalanced because they conflict with each other due to return and risk. Therefore, in order to solve these existing problems, multi-strategy adaptive particle swarm optimization, namely APSO/DU, has been developed to solve the portfolio optimization problem. In the present study, a constraint factor is introduced to control velocity weight to reduce blindness in the search process. A dual-update (DU) strategy is based on new speed, and position update strategies are designed. In order to test and prove the effectiveness of the APSO/DU algorithm, test functions and a realistic MSV portfolio optimization problem are selected here. The results demonstrate that the APSO/DU algorithm has better convergence accuracy and speed and finds the least risky stock portfolio for the same level of return. Additionally, the results are closer to the global Pareto front (PF). The algorithm can provide valuable advice to investors and has good practical applications.