Jay's Asset Allocation Blog

Blog about my off-hours work on the problem of Asset Allocation including but not limited to Portfolio Optimization algorithms, algorithms and approaches for improved estimation of Asset Allocation inputs and other potentially related items.

Monday, November 26, 2012

Particle Swarm Optimization

Just been reading a few papers on this topic. I got interested from the book Practical Applications of Evolutionary Computation to Financial Engineering. Turns out there is an open source Java project JSwarm-PSO which is quite easy to fit into a portfolio optimization process. The tricky part is nudging the solution back into the valid solution space when it crosses a constraint. I should be pushing some software up into the akutan project shortly which using JSwarm and then I'll be able to provide some more details.