المجلة الدولية للاداء الاقتصادي
Volume 8, Numéro 2, Pages 308-320
2025-12-20
Particle Swarm Optimization For Constrained Financial Portfolio Selection: An Empirical Study On The Us Market
Authors : Saib abdallah . Boussalem Aboubakr . Kadri Al-shakri .
Abstract
This study investigates Particle Swarm Optimization (PSO) application to portfolio optimization under realistic investment constraints. Using 48 liquid assets' market data (2019-2024), we compare PSO against classical Markowitz optimization and equal-weight benchmarks. The PSO algorithm incorporates weight limits (20%), sector concentration (40%), volatility targeting (18%), and diversification requirements. Results demonstrate PSO's superior performance with Sharpe ratio of 0.9192 versus 0.7281 for constrained Markowitz and 0.7499 for equal-weight portfolios, achieving 26.2% improvement in risk-adjusted returns.
Keywords
Portfolio Optimization ; Particle Swarm ; Constrained Optimization ; Risk Management ; Sharpe Ratio
Les articles similaires
بوسالم أحلام
.
عابد يوسف
.
ص 117-132.
Yahia Zeghoudi
.
pages 74-88.
Labbi Y.
.
Ben Attous D.
.
Sarhoud H.
.
pages 62-74.
Mezouar Oussama
.
Meskine Fatiha
.
Boukerch Issam
.
pages 12-22.
Ben Attous D.
.
Labbi Y.
.
pages 241-253.
