- Gazi İktisat ve İşletme Dergisi
- Volume:10 Issue:1
- The portfolio optimization with simulated annealing algorithm: An application of Borsa Istanbul
The portfolio optimization with simulated annealing algorithm: An application of Borsa Istanbul
Authors : Seyyide Doğan, Müge Sağlam Bezgin, Emine Karaçayır
Pages : 1-15
Doi:10.30855/gjeb.2024.10.1.001
View : 188 | Download : 210
Publication Date : 2024-02-28
Article Type : Research Paper
Abstract :One of the key concepts in finance is Markowitz’s constrained mean-variance model, the number of assets to be included in the portfolio is restricted. The solution of this generalized problem, which belongs to the quadratic and integer programming problem class, as the number of dimensions increases, is difficult to obtain with standard methods. In this study, the simulated annealing (SA) algorithm, which is one of the local search-based meta-heuristic methods, was preferred. The developed SA algorithm was applied to the Hang-Seng benchmark data set, and the results were compared with pioneering studies. According to the experimental results, upon the performance of the algorithm was found to be sufficient, the SA algorithm was applied for the Borsa Istanbul 30 index. The results of the experiments based on the Markowitz mean-variance model demonstrate that, while more assets must be maintained at lower risk levels to converge an unconstrained efficient frontier and the number of assets needed to do so decreases as risk risesKeywords : Portföy optimizasyonu, markowitz ortalama varyans modeli, tavlama benzetim, sezgisel optimizasyon
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