Portfolio Optimization Based On Ant Colony Algorithm

The theory of Portfolio was first put forward by the economist named Markowitz in 1952, and it has great importance to modern financial investment theory. However, there are some diffculties in dealing with Portfolio optimization according to traditional quadratic programming, due to great computation and poor operational probability. As the development of modern optimization techniques, bionic optimization algorithm such as ant colony algorithm(short for ACA) appeared. At present, the domestic research about the application of ACA into Combinatorial Investment Optimization is limited and it still can't reach the level of practical application. In this thesis, a portfolio optimization model was established based on continuous ant colony algorithm domain of multi-objective optimization and it can achieve practical application on the whole.There are five chapters in this article. The main content of each chapter is as follows: In Chapter one, the background of this paper,the current state at home and abroad about the study of portfolio optimization theory,the content and research methods of the thesis are briefly introduced. The basic principle and mathematical model of ACA,portfolio theory and its optimization method based ACA are illustrated in the second and third chapter. In the fourth chapter,the algorithm and timing ability are verified. In the last chapter,the study results,disadvantages and further research direction are summarized.Compared to exsisted research , there are some innovations for this paper. The currently exsisted ACA is just adapted to portfolio optimization within ten stocks. The research is based on static analysis, and it's limited for using basic ant colony algorithm only. The proposed novel model not only takes advantage of continuous ant colony algorithm domain of multi-objective optimization, but also the benefits and risks are considered to establish dynamic model. As a result, it can be applied to optimization of stocks up to 100 and the results are satisfactory while used in practice.