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Title: Solving cardinality constrained portfolio optimisation problem using genetic algorithms and ant colony optimisation
Authors: Li, Yibo
Advisors: Lucas C
Keywords: MIP;Genetics algorithm;Ant colony optimization;Cardinality constrained portfolio optimization
Issue Date: 2015
Publisher: Brunel University London
Abstract: In this thesis we consider solution approaches for the index tacking problem, in which we aim to reproduces the performance of a market index without purchasing all of the stocks that constitute the index. We solve the problem using three different solution approaches: Mixed Integer Programming (MIP), Genetic Algorithms (GAs), and Ant-colony Optimization (ACO) Algorithm by limiting the number of stocks that can be held. Each index is also assigned with different cardinalities to examine the change to the solution values. All of the solution approaches are tested by considering eight market indices. The smallest data set only consists of 31 stocks whereas the largest data set includes over 2000 stocks. The computational results from the MIP are used as the benchmark to measure the performance of the other solution approaches. The Computational results are presented for different solution approaches and conclusions are given. Finally, we implement post analysis and investigate the best tracking portfolios achieved from the three solution approaches. We summarise the findings of the investigation, and in turn, we further improve some of the algorithms. As the formulations of these problems are mixed-integer linear programs, we use the solver ‘Cplex’ to solve the problems. All of the programming is coded in AMPL.
Description: This thesis was submitted for the award of Doctor of Philosophy and was awarded by Brunel University London
Appears in Collections:Dept of Mathematics Theses
Mathematical Sciences

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