A survey of swarm intelligence for portfolio optimization: Algorithms and applications

In portfolio optimization (PO), often, a risk measure is an objective to be minimized or an efficient frontier representing the best tradeoff between return and risk is sought. In order to overcome computational difficulties of this NP-hard problem, a growing number of researchers have adopted swarm intelligence (SI) methodologies to deal with PO. The main PO models are summarized, and the suggested SI methodologies are analyzed in depth by conducting a survey from the recent published literature. Hence, this study provides a review of the SI contributions to PO literature and identifies areas of opportunity for future research.