Optimizing Investment Portfolios with Bacterial Foraging and Robust Risk Management
This study introduces a novel portfolio optimization approach that combines Bacterial Foraging Optimization (BFO) with risk management techniques and Sharpe ratio analysis. BFO, a nature-inspired algorithm, is employed to construct diversified portfolios, while risk management strategies, including...
Saved in:
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-02-01
|
| Series: | Algorithms |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1999-4893/18/2/109 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Summary: | This study introduces a novel portfolio optimization approach that combines Bacterial Foraging Optimization (BFO) with risk management techniques and Sharpe ratio analysis. BFO, a nature-inspired algorithm, is employed to construct diversified portfolios, while risk management strategies, including stop-loss limits and transaction cost considerations, enhance risk control. The Sharpe ratio is used to evaluate the efficiency of the investment strategy by accounting for risk-adjusted returns. The experiments demonstrate that this approach effectively balances risk and return, making it a valuable tool for portfolio management in dynamic financial markets. |
|---|---|
| ISSN: | 1999-4893 |