A GD-PSO Algorithm for Smart Transportation Supply Chain ABS Portfolio Optimization

[摘要] Financial technology and smart transportation is key cross-field of transportation in the future. The demand for smart transportation investment is constantly released. As typical and efficient financial products, asset-backed securities (ABS) can greatly improve the turnover efficiency of funds between upstream suppliers and downstream buyers in the field of smart transportation and also help participants of the supply chain to maintain healthier financial situations. However, one of the most common problems of ABS is portfolio allocation, which needs portfolio optimization based on massive assets with multiple objectives and constraints. Especially, in the field of smart transportation, sources of underlying assets can always be complex, which may involve a variety of subdivision industries and regions. At the same time, due to the relationships between upstream and downstream entities in the supply chain, correlations among assets can be strong. So, during the optimization of smart transportation ABS portfolio allocation, it is necessary to identify and deal with those problems. Different from forward selection or linear optimization, which could have low efficiency for complicated problems with large sample size and multiple objectives, new methods and algorithms for NP-hard problems would be necessary to be investigated. In this article, a penalty function based on graph density (GD) was introduced to the particle swarm optimization algorithm (PSO), and a GD-PSO algorithm was proposed. Experiments also showed that the GD-PSO algorithm solved the problem of portfolio optimization in smart transportation supply chain ABS effectively.

[学科分类] 安全、风险、质量和可靠性