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Method of Musical Composition for the Portfolio Optimization Problem

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Book cover Advances in Soft Computing (MICAI 2016)

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Abstract

The constrained portfolio optimization problem with multi-objective functions cannot be efficiently solved using exact techniques. Thus, heuristics approaches seem to be the best option to find high quality solutions in a limited amount of time. For solving this problem, this paper proposes an algorithm based on the Method of Musical Composition (MMC), a metaheuristic that mimics an multi-agent based creativity system associated with musical composition. In order to prove its performance, the algorithm was tested over five well-known benchmark data sets and the obtained results prove to be highly competitive since they outperform those reported in the specialized literature in four out of the five tackled instances.

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Authors and Affiliations

  1. Dpto. de Sistemas, Universidad Autónoma Metropolitana, Unidad Azcapotzalco, 02200, Mexico, D.F., Mexico

    Roman Anselmo Mora-Gutiérrez, Antonin Ponsich, Eric Alfredo Rincón García, Sergio Gerardo de-los-Cobos-Silva, Miguel Ángel Gutiérrez Andrade & Pedro Lara-Velázquez

  2. Dpto. de Ing. Eléctrica, Universidad Autónoma Metropolitana, Unidad Iztapalapa, 09340, Mexico, D.F., Mexico

    Roman Anselmo Mora-Gutiérrez, Antonin Ponsich, Eric Alfredo Rincón García, Sergio Gerardo de-los-Cobos-Silva, Miguel Ángel Gutiérrez Andrade & Pedro Lara-Velázquez

Authors
  1. Roman Anselmo Mora-Gutiérrez
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  2. Antonin Ponsich
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  3. Eric Alfredo Rincón García
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  4. Sergio Gerardo de-los-Cobos-Silva
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  5. Miguel Ángel Gutiérrez Andrade
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  6. Pedro Lara-Velázquez
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Corresponding author

Correspondence to Eric Alfredo Rincón García .

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Editors and Affiliations

  1. Instituto Politécnico Nacional, Unidad Profesional Interdisciplinaria en Ingeniería y Tecnologías Avanzadas, México DF, Mexico

    Obdulia Pichardo-Lagunas

  2. INFOTEC Aguascalientes, Aguascalientes, Mexico

    Sabino Miranda-Jiménez

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Mora-Gutiérrez, R.A., Ponsich, A., Rincón García, E.A., de-los-Cobos-Silva, S.G., Gutiérrez Andrade, M.Á., Lara-Velázquez, P. (2017). Method of Musical Composition for the Portfolio Optimization Problem. In: Pichardo-Lagunas, O., Miranda-Jiménez, S. (eds) Advances in Soft Computing. MICAI 2016. Lecture Notes in Computer Science(), vol 10062. Springer, Cham. https://doi.org/10.1007/978-3-319-62428-0_29

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  • DOI: https://doi.org/10.1007/978-3-319-62428-0_29

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-62427-3

  • Online ISBN: 978-3-319-62428-0

  • eBook Packages: Computer ScienceComputer Science (R0)

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