{"id":"https://openalex.org/W4388499113","doi":"https://doi.org/10.1007/s10287-023-00483-x","title":"A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures","display_name":"A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures","publication_year":2023,"publication_date":"2023-11-08","ids":{"openalex":"https://openalex.org/W4388499113","doi":"https://doi.org/10.1007/s10287-023-00483-x"},"language":"en","primary_location":{"id":"doi:10.1007/s10287-023-00483-x","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-023-00483-x","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-023-00483-x.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007/s10287-023-00483-x.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5033597331","display_name":"Massimiliano Kaucic","orcid":"https://orcid.org/0000-0002-6565-0771"},"institutions":[{"id":"https://openalex.org/I142444530","display_name":"University of Trieste","ror":"https://ror.org/02n742c10","country_code":"IT","type":"education","lineage":["https://openalex.org/I142444530"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Massimiliano Kaucic","raw_affiliation_strings":["Department of Economics, Business, Mathematics and Statistics, University of Trieste, Trieste, Italy"],"affiliations":[{"raw_affiliation_string":"Department of Economics, Business, Mathematics and Statistics, University of Trieste, Trieste, Italy","institution_ids":["https://openalex.org/I142444530"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5014155584","display_name":"Filippo Piccotto","orcid":"https://orcid.org/0000-0002-3869-1471"},"institutions":[{"id":"https://openalex.org/I142444530","display_name":"University of Trieste","ror":"https://ror.org/02n742c10","country_code":"IT","type":"education","lineage":["https://openalex.org/I142444530"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Filippo Piccotto","raw_affiliation_strings":["Department of Economics, Business, Mathematics and Statistics, University of Trieste, Trieste, Italy"],"affiliations":[{"raw_affiliation_string":"Department of Economics, Business, Mathematics and Statistics, University of Trieste, Trieste, Italy","institution_ids":["https://openalex.org/I142444530"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5090257881","display_name":"Gabriele Sbaiz","orcid":"https://orcid.org/0000-0003-3500-6843"},"institutions":[{"id":"https://openalex.org/I142444530","display_name":"University of Trieste","ror":"https://ror.org/02n742c10","country_code":"IT","type":"education","lineage":["https://openalex.org/I142444530"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Gabriele Sbaiz","raw_affiliation_strings":["Department of Economics, Business, Mathematics and Statistics, University of Trieste, Trieste, Italy"],"affiliations":[{"raw_affiliation_string":"Department of Economics, Business, Mathematics and Statistics, University of Trieste, Trieste, Italy","institution_ids":["https://openalex.org/I142444530"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5033597331"],"corresponding_institution_ids":["https://openalex.org/I142444530"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":{"value":2290,"currency":"EUR","value_usd":2890},"fwci":1.5272,"has_fulltext":true,"cited_by_count":6,"citation_normalized_percentile":{"value":0.84314414,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":94,"max":98},"biblio":{"volume":"21","issue":"1","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9991000294685364,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9991000294685364,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9983999729156494,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12101","display_name":"Advanced Bandit Algorithms Research","score":0.9944999814033508,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/sharpe-ratio","display_name":"Sharpe ratio","score":0.875684380531311},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6558247804641724},{"id":"https://openalex.org/keywords/kurtosis","display_name":"Kurtosis","score":0.6459851264953613},{"id":"https://openalex.org/keywords/skewness","display_name":"Skewness","score":0.5321656465530396},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5187280774116516},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.43836110830307007},{"id":"https://openalex.org/keywords/moment","display_name":"Moment (physics)","score":0.4109098017215729},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.4047006666660309},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.2880839705467224},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.24774476885795593},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.16807234287261963},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.15937873721122742},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.12603101134300232}],"concepts":[{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.875684380531311},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6558247804641724},{"id":"https://openalex.org/C166963901","wikidata":"https://www.wikidata.org/wiki/Q287251","display_name":"Kurtosis","level":2,"score":0.6459851264953613},{"id":"https://openalex.org/C122342681","wikidata":"https://www.wikidata.org/wiki/Q330828","display_name":"Skewness","level":2,"score":0.5321656465530396},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5187280774116516},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.43836110830307007},{"id":"https://openalex.org/C179254644","wikidata":"https://www.wikidata.org/wiki/Q13222844","display_name":"Moment (physics)","level":2,"score":0.4109098017215729},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.4047006666660309},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.2880839705467224},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24774476885795593},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.16807234287261963},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.15937873721122742},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.12603101134300232},{"id":"https://openalex.org/C74650414","wikidata":"https://www.wikidata.org/wiki/Q11397","display_name":"Classical mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10287-023-00483-x","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-023-00483-x","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-023-00483-x.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:comgts:v:21:y:2024:i:1:d:10.1007_s10287-023-00483-x","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10287-023-00483-x","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.1007/s10287-023-00483-x","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-023-00483-x","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-023-00483-x.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"sustainable_development_goals":[{"display_name":"Partnerships for the goals","score":0.4399999976158142,"id":"https://metadata.un.org/sdg/17"}],"awards":[],"funders":[{"id":"https://openalex.org/F4320311030","display_name":"Istituto Nazionale di Alta Matematica \"Francesco Severi\"","ror":"https://ror.org/01vx64p53"},{"id":"https://openalex.org/F4320327547","display_name":"Universit\u00e0 degli Studi di Trieste","ror":"https://ror.org/02n742c10"}],"has_content":{"grobid_xml":false,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4388499113.pdf"},"referenced_works_count":51,"referenced_works":["https://openalex.org/W70438365","https://openalex.org/W87091934","https://openalex.org/W639967202","https://openalex.org/W1583280453","https://openalex.org/W1965580822","https://openalex.org/W1974288696","https://openalex.org/W1991962826","https://openalex.org/W1995972800","https://openalex.org/W1998409204","https://openalex.org/W2027353826","https://openalex.org/W2068689926","https://openalex.org/W2076396344","https://openalex.org/W2078950506","https://openalex.org/W2096166399","https://openalex.org/W2118840131","https://openalex.org/W2137387582","https://openalex.org/W2140491475","https://openalex.org/W2153580489","https://openalex.org/W2155005783","https://openalex.org/W2157745706","https://openalex.org/W2160683585","https://openalex.org/W2162397932","https://openalex.org/W2165975239","https://openalex.org/W2245443977","https://openalex.org/W2339649209","https://openalex.org/W2573137292","https://openalex.org/W2729437950","https://openalex.org/W2753899746","https://openalex.org/W2922034117","https://openalex.org/W2938041225","https://openalex.org/W2976457931","https://openalex.org/W2976471853","https://openalex.org/W2999841784","https://openalex.org/W3025668738","https://openalex.org/W3102759967","https://openalex.org/W3123288201","https://openalex.org/W3123675609","https://openalex.org/W3126102374","https://openalex.org/W3136960354","https://openalex.org/W3154623308","https://openalex.org/W3214943660","https://openalex.org/W4205427058","https://openalex.org/W4211037114","https://openalex.org/W4225288501","https://openalex.org/W4235993008","https://openalex.org/W4236670843","https://openalex.org/W4244543623","https://openalex.org/W4246176696","https://openalex.org/W4285049688","https://openalex.org/W4294215398","https://openalex.org/W4294811576"],"related_works":["https://openalex.org/W4225568567","https://openalex.org/W1496883226","https://openalex.org/W4297337052","https://openalex.org/W2028605949","https://openalex.org/W4286378979","https://openalex.org/W3216026256","https://openalex.org/W3129919015","https://openalex.org/W4390742338","https://openalex.org/W2041010645","https://openalex.org/W2606937315"],"abstract_inverted_index":{"Abstract":[0],"We":[1,185],"study":[2],"large-scale":[3],"portfolio":[4],"optimization":[5],"problems":[6],"in":[7,52,97,171,178],"which":[8,32,50],"the":[9,19,26,34,38,42,54,68,84,91,98,130,134,160,165,172,181,198,203,209,216,219],"aim":[10],"is":[11,162,183],"to":[12,163,196,207,215],"maximize":[13],"a":[14,87,110],"multi-moment":[15],"performance":[16,173,210],"measure":[17],"extending":[18],"Sharpe":[20,30,48,220],"ratio.":[21,221],"More":[22],"specifically,":[23],"we":[24,58,71,108],"consider":[25],"adjusted":[27,43],"for":[28,44,60,175],"skewness":[29,45],"ratio,":[31,49],"incorporates":[33],"third":[35],"moment":[36],"of":[37,63,95,137,159,167,194,202,211],"returns":[39],"distribution,":[40],"and":[41,46,80,200,206],"kurtosis":[47],"exploits":[51],"addition":[53],"fourth":[55],"moment.":[56],"Further,":[57],"account":[59],"two":[61,191],"types":[62],"real-world":[64],"trading":[65],"constraints.":[66,82,138],"On":[67,83],"one":[69],"hand,":[70,86],"impose":[72],"stock":[73],"market":[74,182],"restrictions":[75],"through":[76],"cardinality,":[77],"buy-in":[78],"thresholds,":[79],"budget":[81],"other":[85],"turnover":[88,155],"threshold":[89],"restricts":[90],"total":[92],"allowed":[93],"amount":[94],"trades":[96],"rebalancing":[99],"phases.":[100],"To":[101],"deal":[102],"with":[103],"these":[104],"asset":[105],"allocation":[106],"models,":[107],"embed":[109],"novel":[111],"hybrid":[112],"constraint-handling":[113],"procedure":[114],"into":[115],"an":[116,140],"improved":[117],"dynamic":[118],"level-based":[119],"learning":[120],"swarm":[121],"optimizer.":[122],"A":[123],"repair":[124],"operator":[125],"maps":[126],"candidate":[127],"solutions":[128],"onto":[129],"set":[131],"characterized":[132],"by":[133],"first":[135],"type":[136],"Then,":[139],"adaptive":[141],"$$\\ell":[142],"_1$$":[143],"<mml:math":[144],"xmlns:mml=\"http://www.w3.org/1998/Math/MathML\">":[145],"<mml:msub>":[146],"<mml:mi>\u2113</mml:mi>":[147],"<mml:mn>1</mml:mn>":[148],"</mml:msub>":[149],"</mml:math>":[150],"-exact":[151],"penalty":[152],"function":[153],"manages":[154],"violations.":[156],"The":[157],"focus":[158],"paper":[161],"highlight":[164],"importance":[166],"including":[168],"higher-order":[169],"moments":[170],"measures":[174],"long-run":[176],"investments,":[177],"particular":[179],"when":[180],"turbulent.":[184],"carry":[186],"out":[187],"empirical":[188],"tests":[189],"on":[190],"worldwide":[192],"sets":[193],"assets":[195],"illustrate":[197],"scalability":[199],"effectiveness":[201],"proposed":[204],"strategies,":[205],"evaluate":[208],"our":[212],"investments":[213],"compared":[214],"strategy":[217],"maximizing":[218]},"counts_by_year":[{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":2}],"updated_date":"2025-12-25T23:11:45.687758","created_date":"2025-10-10T00:00:00"}