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Dergiler / Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi / 2022 / Cilt: 10 - Sayı: 1

A Swarm Intelligence Optimization Algorithm for Cryptocurrency Portfolio Optimization

Ahmet YURTSAL
Yunus KARAÖMER
Ali İhsan BENZER
Sayfa
347–363
Yayın Tarihi
2022-04-30
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

In addition, the method was tested with different parameter values and different risk-averse coefficient values (λ).

📌 3 Maddede Bu Makale

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Amaç & Hipotez:In recent years, cryptocurrency has been widely adopted and seen as an alternative investment tool for investors.
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Temel Bulgular & Veri:Hourly data of 12 cryptocurrencies between 01.09.2020 and 01.04.2021 were used as data.
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Sonuç & Katkı:In addition, the method was tested with different parameter values and different risk-averse coefficient values (λ).
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:2020 Verileri
⚙️Değişkenler:Portfolio Optimization · Artificial Bee Colony · Cryptocurrency

Özet

In recent years, cryptocurrency has been widely adopted and seen as an alternative investment tool for investors. However, which cryptocurrency to invest in and how much to invest becomes a problem. Since there is a conflict of multiple criteria, portfolio optimization (PO) is needed to solve the problem. In this study, an Artificial Bee Colony (ABC) algorithm has been developed based on Markowitz's mean-variance model (M-MVM). With this method, the portfolio of cryptocurrencies has been tried to be optimized. Hourly data of 12 cryptocurrencies between 01.09.2020 and 01.04.2021 were used as data. It has been observed that the ABC algorithm achieves good results in the solution of the problem in a reasonable time. In addition, the method was tested with different parameter values and different risk-averse coefficient values (λ).

Abstract

In recent years, cryptocurrency has been widely adopted and seen as an alternative investment tool for investors. However, which cryptocurrency to invest in and how much to invest becomes a problem. Since there is a conflict of multiple criteria, portfolio optimization (PO) is needed to solve the problem. In this study, an Artificial Bee Colony (ABC) algorithm has been developed based on Markowitz's mean-variance model (M-MVM). With this method, the portfolio of cryptocurrencies has been tried to be optimized. Hourly data of 12 cryptocurrencies between 01.09.2020 and 01.04.2021 were used as data. It has been observed that the ABC algorithm achieves good results in the solution of the problem in a reasonable time. In addition, the method was tested with different parameter values and different risk-averse coefficient values (λ).

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Bu Makaleye Atıf Yap

YURTSAL, A., KARAÖMER, Y., BENZER, A. İ. (2022). A Swarm Intelligence Optimization Algorithm for Cryptocurrency Portfolio Optimization. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, Cilt: 10 - Sayı: 1, 347–363. https://ajindex.com/articles/461874

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Kaynakça (10)

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