COMPARATIVE STUDY OF OPTIMAL PORTFOLIO SELECTION USING ALGORITHM IMPERIALIST COMPETITIVE AND CULTURAL EVOLUTION

Due to the growing capital markets and the increasing volume of data, investors are looking for a quick solution to maximize efficiency and minimize risk to their formation of the optimal portfolios. Today, there are varieties of methods to optimize decisions and choices, these methods which are inspired by nature, such as intelligent search algorithms alongside traditional methods, have shown considerable success. The aim of the present study is selection of portfolio optimization algorithms based on Markowitz's mean-variance model and use of the colonial competition and cultural evolution algorithm for companies listed in Tehran Stock Exchange during the years 2007 to 2013 and comparing them with each other. The results show imperialist competitive algorithm has fast convergence to the cultural evolution algorithm and lead to a solution, even with a lot of calculations done in the least possible time and with the best results

Portfolio optimization, imperialist competitive algorithm, cultural evolution algorithm, mean semi – variance model.