A Cuckoo Optimisation Algorithm for Solving Financial Portfolio Problem
Published: 2017
Author(s) Name: Slimane Sefiane, Hadj Bourouba |
Author(s) Affiliation: Institute of Economic and Commercial Sciences, University (Center) of Relizane, Algeria.
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Abstract
Over the years, different solution methods to financial portfolio optimisation problems have been developed and applied. In recent years, however, there has been an increasing use of heuristic methods as alternative to other methods. In this study, a newly developed heuristic method called Cuckoo Optimisation Algorithm (COA) is presented to solve financial portfolio optimisation problems. The results on a five stock application example show that the proposed cuckoo algorithm solves the portfolio optimisation problem more optimally than genetic algorithm and ant colony algorithm.
Keywords: Financial Portfolio Optimisation, Approxi-mate Methods, Cuckoo Optimisation Algorithm
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