A Swarm Intelligence Optimization Algorithm for Cryptocurrency Portfolio Optimization

Year 2022, Volume: 10 Issue: 1, 347 - 363, 30.04.2022

Ahmet Yurtsal Yunus Karaömer Ali İhsan Benzer

https://doi.org/10.18506/anemon.975505

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).

Keywords

Portfolio Optimization, Artificial Bee Colony, Cryptocurrency

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