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Related Experiment Video

Updated: Jun 11, 2025

Spatial Multiobjective Optimization of Agricultural Conservation Practices using a SWAT Model and an Evolutionary Algorithm
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An adapted Black Widow Optimization Algorithm for Financial Portfolio Optimization Problem with cardinalty and budget

Rahenda Khodier1, Ahmed Radi1, Basel Ayman1

  • 1Department of Industrial and Manufacturing Engineering, Egypt-Japan University of Science and Technology, Alexandria, 21934, Egypt.

Scientific Reports
|September 28, 2024
PubMed
Summary
This summary is machine-generated.

This study introduces the Black Widow Algorithm for Portfolio Optimization (BWAPO) to solve the Financial Portfolio Optimization Problem (FPOP). The novel approach effectively balances risk and return, particularly excelling in unconstrained scenarios and offering competitive results with cardinality constraints.

Keywords:
Black Widow Algorithm for Portfolio OptimizationMean-varianceMeta-heuristicPortfolio optimization

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Area of Science:

  • Quantitative Finance
  • Computational Finance
  • Operations Research

Background:

  • The Financial Portfolio Optimization Problem (FPOP) is critical for balancing investment risk and return.
  • Existing methods, like Markowitz's Mean-Variance model, have limitations in handling complex constraints.
  • Meta-heuristic approaches are increasingly explored for advanced portfolio optimization.

Purpose of the Study:

  • To introduce a novel meta-heuristic algorithm, the Black Widow Algorithm for Portfolio Optimization (BWAPO), for solving the FPOP.
  • To adapt BWAPO with specific features like mating attraction and differential evolution mutation for enhanced performance.
  • To evaluate BWAPO's effectiveness across unconstrained, equality cardinality-constrained, and inequality cardinality-constrained FPOP versions.

Main Methods:

  • Development of a novel Black Widow Algorithm for Portfolio Optimization (BWAPO).
  • Integration of mating attraction and differential evolution mutation strategies into BWAPO.
  • Comparative analysis of BWAPO against existing meta-heuristic methods on benchmark datasets.

Main Results:

  • BWAPO demonstrates high effectiveness, especially for the unconstrained Mean-Variance portfolio optimization.
  • The algorithm achieves competitive results for cardinality-constrained FPOP, particularly on smaller datasets.
  • Analysis indicates inequality cardinality constraints yield broader feasible solutions and potentially higher returns compared to equality constraints.

Conclusions:

  • The proposed BWAPO is an effective meta-heuristic for solving various Financial Portfolio Optimization Problems.
  • Inequality cardinality constraints appear more advantageous for maximizing portfolio returns.
  • The study provides a comprehensive mathematical model incorporating real-world financial constraints.