Boris Guarisma
Foundations

Foundations

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(Swarm) Portfolio Optimization

Basic concepts to perform a multi-objective Particle Swarm Optimization in the context of Portfolio Management with VaR (Value-at-Risk). Cover photo by James Wainscoat on Unsplash.

Articles in this series

Projet Optimisation multicritères du portefeuille (French)

Feb 3, 202227 min read

Minimisation du Value-at-Risk avec l’algorithme MOPSO modifié · Cover photo by James Wainscoat on Unsplash Note de l'auteur: cet article a pour objectif...

Projet Optimisation multicritères du portefeuille (French)
Part 1 - Nonparametric Value-at-Risk (VaR)
Part 2 - Notion of non-dominated solutions
Part 3 - Yet Another PSO Article with R