Large Scale Portfolio Optimization Using Biogeography-Based Optimization

Portfolio optimization is a mathematical formulation whose objective is to maximize returns while minimizing risks. A lot of improvement in the model has been made, including adding practical constraints. With the growing of shares trading, the problem becomes dimensionally very large. In this paper, we propose the usage of modified Biogeography-Based Optimization to solve the large scale constrained portfolio optimization. Results indicate the effectiveness of the method used.