A Swarm Intelligence Optimization Algorithm for Cryptocurrency Portfolio Optimization

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dc.contributor.authorYurtsal, Ahmet
dc.contributor.authorKaraömer, Yunus
dc.contributor.authorBenzer, Ali İhsan
dc.date.accessioned2024-09-19T16:22:12Z
dc.date.available2024-09-19T16:22:12Z
dc.date.issued2022
dc.departmentHatay Mustafa Kemal Üniversitesien_US
dc.description.abstractIn 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 (?).en_US
dc.identifier.doi10.18506/anemon.975505
dc.identifier.endpage363en_US
dc.identifier.issn2147-7655
dc.identifier.issn2149-4622
dc.identifier.issue1en_US
dc.identifier.startpage347en_US
dc.identifier.trdizinid1076208en_US
dc.identifier.urihttps://doi.org/10.18506/anemon.975505
dc.identifier.urihttps://search.trdizin.gov.tr/tr/yayin/detay/1076208
dc.identifier.urihttps://hdl.handle.net/20.500.12483/15695
dc.identifier.volume10en_US
dc.indekslendigikaynakTR-Dizinen_US
dc.language.isoenen_US
dc.relation.ispartofAnemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisien_US
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectArtificial Bee Colonyen_US
dc.subjectCryptocurrencyen_US
dc.subjectPortfolio Optimizationen_US
dc.titleA Swarm Intelligence Optimization Algorithm for Cryptocurrency Portfolio Optimizationen_US
dc.typeArticleen_US

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