Portfolio Insurance and Intelligent Algorithms

Citation:

Katsikis, V. N., & Mourtas, S. D. (2021). Portfolio Insurance and Intelligent Algorithms. In S. Patnaik, Tajeddini, K., & Jain, V. (Eds.), Computational Management: Applications of Computational Intelligence in Business Management (pp. 305 - 323). presented at the 2021, Cham: Springer International Publishing. Copy at http://www.tinyurl.com/y68h8dpf

Abstract:

Minimizing portfolio insurance (PI) costs is an investment strategy of great importance. In this chapter, by converting the classical minimum-cost PI (MCPI) problem to a multi-period MCPI (MPMCPI) problem, we define and investigate the MPMCPI under transaction costs (MPMCPITC) problem as a nonlinear programming (NLP) problem. The problem of MCPI gets more genuine in this way. Given the fact that such NLP problems are widely handled by intelligent algorithms, we are introducing a well-tuned approach that can solve the challenging MPMCPITC problem. In our portfolios’ applications, we use real-world data and, along with some of the best memetic meta-heuristic and commercial methods, we provide a solution to the MPMCPITC problem, and we compare their solutions to each other.

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