Artificial Bee Colony Algorithm Based on Novel Mechanism for Fuzzy Portfolio Selection

Although the introduction of fuzzy theory into a portfolio selection model can help improve the model's practicality, it would increase the difficulty of solving the model. To tackle the issue, this paper proposes a novel mechanism based artificial bee colony algorithm (ABC) consisting of two new proposed learning strategies—direction learning and elite learning. The direction learning strategy has a great potential to guide the search toward the promising areas. The elite learning strategy can gradually pick up the convergence rate without loss of the population diversity. The cooperation of the two approaches forms a mechanism, complementing each other to improve the performance of the algorithms. The proposed mechanism, named LL-mechanism, is introduced into three ABC variants-ABC, gbest-guided ABC (GABC), and CABC, generating LL-ABC, LL-GABC, and LL-CABC, respectively. The experimental results demonstrate the superior performance of the LL-mechanism and LL-CABC outperforms other methods in terms of solution quality, convergence rate, robustness, and numerical stability. Finally, the proposed LL-CABC approach is employed to solve the portfolio selection with fuzzy security return. The experiments on two portfolio selection models illustrate that LL-CABC is effective and promising for a fuzzy portfolio selection.