A collaborative evolutionary bi-objective portfolio selection model with DE-ACO algorithm

摘要

The constraint of quantity and investment limit is introduced into Markowitz mean-variance (M-V) model, we establish a mean semi-absolute deviation bi-objective portfolio selection model and design a bi-objective optimization algorithm with difference-ant colony coordination evolution algorithm (DE-ACO) for empirical analysis. Numerical experiments show that model is reasonable and the DE-ACO algorithm is effective.