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The Scientific World Journal
Volume 2014 (2014), Article ID 578182, 12 pages
Research Article

An Artificial Bee Colony Algorithm for Uncertain Portfolio Selection

School of Information, Capital University of Economics and Business, Beijing 100070, China

Received 3 March 2014; Revised 10 June 2014; Accepted 10 June 2014; Published 26 June 2014

Academic Editor: T. O. Ting

Copyright © 2014 Wei Chen. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


Portfolio selection is an important issue for researchers and practitioners. In this paper, under the assumption that security returns are given by experts’ evaluations rather than historical data, we discuss the portfolio adjusting problem which takes transaction costs and diversification degree of portfolio into consideration. Uncertain variables are employed to describe the security returns. In the proposed mean-variance-entropy model, the uncertain mean value of the return is used to measure investment return, the uncertain variance of the return is used to measure investment risk, and the entropy is used to measure diversification degree of portfolio. In order to solve the proposed model, a modified artificial bee colony (ABC) algorithm is designed. Finally, a numerical example is given to illustrate the modelling idea and the effectiveness of the proposed algorithm.