{"id":"https://openalex.org/W2095282917","doi":"https://doi.org/10.1109/cec.2014.6900497","title":"Carry trade portfolio optimization using particle swarm optimization","display_name":"Carry trade portfolio optimization using particle swarm optimization","publication_year":2014,"publication_date":"2014-07-01","ids":{"openalex":"https://openalex.org/W2095282917","doi":"https://doi.org/10.1109/cec.2014.6900497","mag":"2095282917"},"language":"en","primary_location":{"id":"doi:10.1109/cec.2014.6900497","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cec.2014.6900497","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2014 IEEE Congress on Evolutionary Computation (CEC)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5102377513","display_name":"Stuart G. Reid","orcid":"https://orcid.org/0000-0002-0996-3570"},"institutions":[{"id":"https://openalex.org/I69552723","display_name":"University of Pretoria","ror":"https://ror.org/00g0p6g84","country_code":"ZA","type":"education","lineage":["https://openalex.org/I69552723"]}],"countries":["ZA"],"is_corresponding":true,"raw_author_name":"Stuart G. Reid","raw_affiliation_strings":["Department of Computer Science, University of Pretoria, South Africa","Department of Computer Science, University of Pretoria, South-Africa"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science, University of Pretoria, South Africa","institution_ids":["https://openalex.org/I69552723"]},{"raw_affiliation_string":"Department of Computer Science, University of Pretoria, South-Africa","institution_ids":["https://openalex.org/I69552723"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5082432019","display_name":"Katherine M. Malan","orcid":"https://orcid.org/0000-0002-6070-2632"},"institutions":[{"id":"https://openalex.org/I69552723","display_name":"University of Pretoria","ror":"https://ror.org/00g0p6g84","country_code":"ZA","type":"education","lineage":["https://openalex.org/I69552723"]}],"countries":["ZA"],"is_corresponding":false,"raw_author_name":"Katherine M. Malan","raw_affiliation_strings":["Department of Computer Science, University of Pretoria, South Africa","Department of Computer Science, University of Pretoria, South-Africa"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science, University of Pretoria, South Africa","institution_ids":["https://openalex.org/I69552723"]},{"raw_affiliation_string":"Department of Computer Science, University of Pretoria, South-Africa","institution_ids":["https://openalex.org/I69552723"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5039197997","display_name":"Andries P. Engelbrecht","orcid":"https://orcid.org/0000-0002-0242-3539"},"institutions":[{"id":"https://openalex.org/I69552723","display_name":"University of Pretoria","ror":"https://ror.org/00g0p6g84","country_code":"ZA","type":"education","lineage":["https://openalex.org/I69552723"]}],"countries":["ZA"],"is_corresponding":false,"raw_author_name":"Andries P. Engelbrecht","raw_affiliation_strings":["Department of Computer Science, University of Pretoria, South Africa","Department of Computer Science, University of Pretoria, South-Africa"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science, University of Pretoria, South Africa","institution_ids":["https://openalex.org/I69552723"]},{"raw_affiliation_string":"Department of Computer Science, University of Pretoria, South-Africa","institution_ids":["https://openalex.org/I69552723"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5102377513"],"corresponding_institution_ids":["https://openalex.org/I69552723"],"apc_list":null,"apc_paid":null,"fwci":1.2175,"has_fulltext":false,"cited_by_count":6,"citation_normalized_percentile":{"value":0.8286336,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":96},"biblio":{"volume":null,"issue":null,"first_page":"3051","last_page":"3058"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9977999925613403,"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":0.9977999925613403,"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/T10100","display_name":"Metaheuristic Optimization Algorithms Research","score":0.9781000018119812,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12101","display_name":"Advanced Bandit Algorithms Research","score":0.974399983882904,"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/portfolio-optimization","display_name":"Portfolio optimization","score":0.8641206622123718},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7569986581802368},{"id":"https://openalex.org/keywords/particle-swarm-optimization","display_name":"Particle swarm optimization","score":0.6802645325660706},{"id":"https://openalex.org/keywords/diversification","display_name":"Diversification (marketing strategy)","score":0.6386513113975525},{"id":"https://openalex.org/keywords/carry","display_name":"Carry (investment)","score":0.5773885250091553},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5714125633239746},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5219656825065613},{"id":"https://openalex.org/keywords/expected-return","display_name":"Expected return","score":0.5179075598716736},{"id":"https://openalex.org/keywords/efficient-frontier","display_name":"Efficient frontier","score":0.4511317014694214},{"id":"https://openalex.org/keywords/interest-rate","display_name":"Interest rate","score":0.43335843086242676},{"id":"https://openalex.org/keywords/capital-allocation-line","display_name":"Capital allocation line","score":0.426643043756485},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.40084007382392883},{"id":"https://openalex.org/keywords/profit","display_name":"Profit (economics)","score":0.379291296005249},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.331068217754364},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.2293928861618042},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.18538397550582886},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.17680394649505615},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.1552412509918213},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.14815646409988403}],"concepts":[{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.8641206622123718},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7569986581802368},{"id":"https://openalex.org/C85617194","wikidata":"https://www.wikidata.org/wiki/Q2072794","display_name":"Particle swarm optimization","level":2,"score":0.6802645325660706},{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.6386513113975525},{"id":"https://openalex.org/C2776299755","wikidata":"https://www.wikidata.org/wiki/Q432449","display_name":"Carry (investment)","level":2,"score":0.5773885250091553},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5714125633239746},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5219656825065613},{"id":"https://openalex.org/C154611145","wikidata":"https://www.wikidata.org/wiki/Q4331879","display_name":"Expected return","level":3,"score":0.5179075598716736},{"id":"https://openalex.org/C51485801","wikidata":"https://www.wikidata.org/wiki/Q16966861","display_name":"Efficient frontier","level":3,"score":0.4511317014694214},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.43335843086242676},{"id":"https://openalex.org/C138142054","wikidata":"https://www.wikidata.org/wiki/Q5035692","display_name":"Capital allocation line","level":3,"score":0.426643043756485},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.40084007382392883},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.379291296005249},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.331068217754364},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.2293928861618042},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.18538397550582886},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.17680394649505615},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.1552412509918213},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.14815646409988403},{"id":"https://openalex.org/C162853370","wikidata":"https://www.wikidata.org/wiki/Q39809","display_name":"Marketing","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/cec.2014.6900497","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cec.2014.6900497","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2014 IEEE Congress on Evolutionary Computation (CEC)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals","score":0.5}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":33,"referenced_works":["https://openalex.org/W1520935081","https://openalex.org/W1526455201","https://openalex.org/W1769311065","https://openalex.org/W1875348914","https://openalex.org/W1970429419","https://openalex.org/W1998409204","https://openalex.org/W2014426727","https://openalex.org/W2017114519","https://openalex.org/W2032505229","https://openalex.org/W2064796634","https://openalex.org/W2081749411","https://openalex.org/W2102187295","https://openalex.org/W2103244737","https://openalex.org/W2108340617","https://openalex.org/W2109364787","https://openalex.org/W2140898153","https://openalex.org/W2151237529","https://openalex.org/W2152195021","https://openalex.org/W2153580489","https://openalex.org/W2159318931","https://openalex.org/W2159885180","https://openalex.org/W2161080182","https://openalex.org/W2162397932","https://openalex.org/W2294191420","https://openalex.org/W2798741797","https://openalex.org/W3021970279","https://openalex.org/W3037224705","https://openalex.org/W3098099048","https://openalex.org/W3121690653","https://openalex.org/W3124618050","https://openalex.org/W3199351510","https://openalex.org/W4236670843","https://openalex.org/W6678529193"],"related_works":["https://openalex.org/W4387811153","https://openalex.org/W2778545980","https://openalex.org/W2113583687","https://openalex.org/W4382519866","https://openalex.org/W2018985315","https://openalex.org/W202855484","https://openalex.org/W2015230868","https://openalex.org/W2047338438","https://openalex.org/W2499996265","https://openalex.org/W2476900428"],"abstract_inverted_index":{"Portfolio":[0,26],"optimization":[1,27,50,70,141],"has":[2],"as":[3,31,54],"its":[4],"objective":[5],"to":[6,57,73,116],"find":[7],"optimal":[8],"portfolios,":[9],"which":[10],"apportion":[11],"capital":[12],"between":[13],"their":[14,114],"constituent":[15],"assets":[16],"such":[17],"that":[18,123,138],"the":[19,103,145],"portfolio's":[20],"risk":[21,45,146],"adjusted":[22,147],"return":[23,38,101],"is":[24],"maximized.":[25],"becomes":[28],"more":[29],"complex":[30],"constraints":[32],"are":[33,39,46,110],"imposed,":[34],"multiple":[35],"sources":[36],"of":[37,44,78,113,149],"included,":[40],"and":[41,93,136],"alternative":[42,56],"measures":[43],"used.":[47],"Meta-heuristic":[48],"portfolio":[49,77,140],"can":[51,142],"be":[52],"used":[53],"an":[55],"deterministic":[58],"approaches":[59],"under":[60],"increased":[61],"complexity":[62],"conditions.":[63],"This":[64,130],"paper":[65,131],"uses":[66],"a":[67,75,82],"particle":[68],"swarm":[69],"(PSO)":[71],"algorithm":[72],"optimize":[74],"diversified":[76,150],"carry":[79,83,108,151],"trades.":[80],"In":[81],"trade,":[84],"investors":[85],"profit":[86],"by":[87],"borrowing":[88],"low":[89],"interest":[90,96,104],"rate":[91,97,105],"currencies":[92],"lending":[94],"high":[95],"currencies,":[98],"thereby":[99],"generating":[100],"through":[102],"differential.":[106],"However,":[107],"trades":[109],"risky":[111],"because":[112],"exposure":[115],"foreign":[117],"exchange":[118],"losses.":[119],"Previous":[120],"studies":[121],"showed":[122],"diversification":[124],"does":[125],"significantly":[126],"mitigate":[127],"this":[128],"risk.":[129],"goes":[132],"one":[133],"step":[134],"further":[135,143],"shows":[137],"meta-heuristic":[139],"improve":[144],"returns":[148],"trade":[152],"portfolios.":[153]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":2}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}