Portfolio Optimization Problem by the Firefly Algorithm

摘要

This paper presents metaheuristics framework for solving portfolio optimization problem. Many methods and techniques exist for tackling this well-known economics and finance problem. As additional constraints are being added to the basic problem definition, traditional techniques become insufficient and optimization meta-heuristics emerge as a better approach. In this paper, firefly algorithm (FA) swarm intelligence metaheuristics was applied to the portfolio optimization problem and it was tested on a set of five assets with promising results.