Mutual Fund Portfolio Design Based on Ant Colony Optimization

• Main Authors: Yuan-Da Hsu, 許元達
• Other Authors: Liang-Chuan Wu
• Format: Others
• Language: en_US
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/64496151586981862528

碩士 === 國立中興大學 === 科技管理研究所 === 100 === Mutual fund becomes popular of investment tools for investors. However, previous studies showed that a lot of scholars constructed actively managed mutual fund model to outperform the benchmark. In this research, we redefined return and risk, combined Ant Colony Optimization (ACO) with Markowitz’s Mean-Variance model. Ant Colony Optimization (ACO) can effective solve multiple objective problem and construct a suitable weigh by Mean-Variance model. We evaluate four measure methods. The benchmark index is Taiwan 50 index fund. Results showed that obtained low risk and high return portfolio. The contribution is constructed a model to find the “best” portfolio for investors.