Plenary Lecture
Swarm Intelligence Algorithms for Portfolio Selection Problem
Professor Milan Tuba
University Megatrend Belgrade
Faculty of Computer Science
Serbia
E-mail: tuba@ieee.org
Abstract: Portfolio selection (optimization) is an important problem in the area of economy, management and finance. Portfolio includes various financial securities, such as bonds and stocks owned by an organization or by individual. Portfolio optimization is the process of choosing the proportions (weights) of various assets to be held in the portfolio, according to some optimization criteria and constraints. The optimization criteria mix together, directly or indirectly, considerations of the expected value of the portfolio’s rate of return and the return’s dispersion and possibly other measures of financial risk. Portfolio selection problem is a multi-criteria optimization problem where the goal is to minimize risks, while maximizing returns. With the inclusion of additional real-world constraints (such as the transaction costs, constraints arising from the legal environment, the finite divisibility of the assets etc.), the problem becomes much harder. In that case, traditional deterministic methods cannot cope with the computational complexity of the problem and the use of nondeterministic optimization metaheuristics is more promising. Swarm intelligence is a relatively new branch of nature inspired algorithms that very successfully finds suboptimal solutions to hard optimization problems by simulating collective intelligence of swarms of very simple agents like bees, ants, fireflies etc. This plenary lecture presents some successful applications of various swarm intelligence algorithms to portfolio selection problems with different constraint sets.
Brief Biography of the Speaker: Milan Tuba is Professor of Computer Science and Provost for mathematical, natural and technical sciences at Megatrend University of Belgrade. He received B. S. in Mathematics, M. S. in Mathematics, M. S. in Computer Science, M. Ph. in Computer Science, Ph. D. in Computer Science from University of Belgrade and New York University. From 1983 to 1994 he was in the U.S.A. first as a graduate student and teaching and research assistant at Vanderbilt University in Nashville and Courant Institute of Mathematical Sciences, New York University and later as Assistant Professor of Electrical Engineering at Cooper Union Graduate School of Engineering, New York. During that time he was the founder and director of Microprocessor Lab and VLSI Lab, leader of scientific projects and supervisor of many theses. From 1994 he was Assistant Professor of Computer Science and Director of Computer Center at University of Belgrade, from 2001 Associate Professor, Faculty of Mathematics, and from 2004 also a Professor of Computer Science and Dean of the College of Computer Science, Megatrend University Belgrade. He was teaching more than 20 graduate and undergraduate courses, from VLSI Design and Computer Architecture to Computer Networks, Operating Systems, Image Processing, Calculus and Queuing Theory. His research interest includes mathematical, queuing theory and heuristic optimizations applied to computer networks, image processing and combinatorial problems. He is the author or coauthor of more than 150 scientific papers and coeditor or member of the editorial board or scientific committee of number of scientific journals and conferences. Member of the ACM since 1983, IEEE 1984, New York Academy of Sciences 1987, AMS 1995, WSEAS, SIAM, IFNA.