期刊名称：Journal of Theoretical and Applied Information Technology
印刷版ISSN：1992-8645
电子版ISSN：1817-3195
出版年度：2013
卷号：49
期号：1
出版社：Journal of Theoretical and Applied
摘要：In this paper, a constrained mean-variance model is constructed for the portfolio optimization problems. The model is a mixed quadratic integer programming problem, and it is too hard to solve by using the traditional optimal algorithms. The purpose of this paper is to use a heuristic algorithm to solve this problem. Combined with the differential evolution strategy, a new hybrid artificial bee colony algorithm is proposed for solving the constrained mean-variance model. In the new hybrid artificial bee colony algorithm, a new search scheme and obsolete rules are presented to improve convergent speed of the algorithm. Computational results show that the algorithm has great capability to solve the portfolio optimization problem. It supplies a new method for solving the portfolio optimization problem.
