Werry Febrianti, Kuntjoro Adji Sidarto, Novriana Sumarti
Portfolio optimization is an activity for balancing return and risk. In this paper, we used mean-variance (M-V) portfolio models with buy-in threshold and cardinality constraints. This model can be formulated as a mixed integer nonlinear programming (MINLP) problem. To solve this constrained mean-variance portfolio optimization problem, we propose the use of a modified spiral optimization algorithm (SOA). Then, we use Bartholomew-Biggs and Kane’s data to validate our proposed algorithm. The results show that our proposed algorithm can be an efficient tool for solving this portfolio optimization problem. © 2022 by the authors.
Department of Mathematics, Faculty of Mathematics and Natural Sciences, Institut Teknologi Bandung, Ganesa Street No. 10, Bandung, 40132, Indonesia; Mathematics, Department of Sciences, Institut Teknologi Sumatera, Terusan Ryacudu Street, Way Huwi, South Lampung, 35365, Indonesia
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