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Study on Portfolio Optimization of Small-Scale Project Grouping Based on Particle Swarm Optimization Algorithm

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To solve the current problems of portfolio optimization in small-scale project grouping, a model to measure the Decision-makers' Preferences Coefficient and a method to solve the Portfolio Optimization problem of small-scale project grouping based on an improved Particle Swarm Optimization algorithm, which is added the Expected Utility coefficient into the projects, are proposed. First, using the traditional Particle Swarm Optimization algorithm solves the same problem among the different Decision-makers. Second, using the traditional Particle Swarm Optimization algorithm and the improved one with the Expected Utility coefficient distinctly to solve the same problem is presented. As a result of the two groups of simulation experiments, the improved Particle Swarm Optimization algorithm is proved to be more objective and reliable to reflect the wishes of policy makers and the intrinsic relationship between projects.
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Keywords: EXPECTED UTILITY COEFFICIENT; PARTICLE SWARM OPTIMIZATION ALGORITHM; PORTFOLIO OPTIMIZATION; PREFERENCES COEFFICIENT; SMALL-SCALE

Document Type: Research Article

Publication date: 2012-03-01

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  • ADVANCED SCIENCE LETTERS is an international peer-reviewed journal with a very wide-ranging coverage, consolidates research activities in all areas of (1) Physical Sciences, (2) Biological Sciences, (3) Mathematical Sciences, (4) Engineering, (5) Computer and Information Sciences, and (6) Geosciences to publish original short communications, full research papers and timely brief (mini) reviews with authors photo and biography encompassing the basic and applied research and current developments in educational aspects of these scientific areas.
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