Design and Solution of a Surrogate Model for Portfolio Optimization Based on Project Ranking

Algorithm 1

ACO-SOP.

Input: , , max_iter,

Output: The new set of portfolios NS

Begin PROCEDURE

(1) Initialize Iter = 0, pheromone matrix and

(2) Construct an initial portfolio

(3) Repeat

(4) Initialize

(5) <- GenerateFeasibleSolutions()

(6) <- Perform local search to the set

(7) Calculate objective functions of Problem (2) on the set

(8) <- Generate non-dominated fronts on

(9) Updating the pheromone matrix with the set

(10) Assign

(11) iter = iter + 1

(12) until (iter = max_iter)

(13) <- Generate non-dominated fronts on

(14) return  

End PROCEDURE