CBO algorithm with average drift and applications to portfolio optimization
Fuente:
arXiv
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| Autori principali: | , , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2026
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| Soggetti: | |
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| _version_ | 1866917286852427776 |
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| author | Bae, Hyeong-Ohk Ha, Seung-Yeal Min, Chanho Yoo, Jane Yoon, Jaeyoung |
| author_facet | Bae, Hyeong-Ohk Ha, Seung-Yeal Min, Chanho Yoo, Jane Yoon, Jaeyoung |
| contents | We propose a consensus based optimization algorithm with average drift (in short Ad-CBO) and provide a theoretical framework for it. In the theoretical analysis, we show that particle solutions to Ad-CBO converge to a global minimizer. In numerical simulations, we examine Ad-CBO's performance in optimizing static and dynamic objective functions. As a real-time application, we test the efficiency of Ad-CBO to find the optimal portfolio given stochastically evolving multi-asset prices in a financial market. The proposed Ad-CBO exhibits higher searching speed, lower tracking errors and regret bound than the CBO without stochastic diffusion |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2602_19204 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | CBO algorithm with average drift and applications to portfolio optimization Bae, Hyeong-Ohk Ha, Seung-Yeal Min, Chanho Yoo, Jane Yoon, Jaeyoung Optimization and Control Dynamical Systems We propose a consensus based optimization algorithm with average drift (in short Ad-CBO) and provide a theoretical framework for it. In the theoretical analysis, we show that particle solutions to Ad-CBO converge to a global minimizer. In numerical simulations, we examine Ad-CBO's performance in optimizing static and dynamic objective functions. As a real-time application, we test the efficiency of Ad-CBO to find the optimal portfolio given stochastically evolving multi-asset prices in a financial market. The proposed Ad-CBO exhibits higher searching speed, lower tracking errors and regret bound than the CBO without stochastic diffusion |
| title | CBO algorithm with average drift and applications to portfolio optimization |
| topic | Optimization and Control Dynamical Systems |
| url | https://arxiv.org/abs/2602.19204 |