International Journal of Finance & Managerial Accounting

International Journal of Finance & Managerial Accounting

Portfolio Optimization Problem Using INFO Optimizer

Articles in Press

Document Type : Original Article

Authors
Seyed Ahmad Mirzaei 1
Meysam Doaei 2
Hossein Abbasiyan 3
Samad Ayazi 4
1 Department of Management, AK.C., Islamic Azad University, Aliabad Katoul, Iran
2 Department of Finance, Esf.C., Islamic Azad University, Esfarayen, Iran
3 Department of Mathematics, AK.C., Islamic Azad University, Aliabad Katoul, Iran
4 Department of Accounting, AK.C., Islamic Azad University, Aliabad Katoul, Iran
10.22034/ijfma.2026.79599.2425
Abstract
Portfolio optimization is a cornerstone of financial engineering, focusing on the optimal allocation of assets to achieve an appropriate balance between risk and expected return. The Mean–Variance model, introduced by Markowitz, provides a fundamental framework for addressing the portfolio optimization problem. The model aims to construct an efficient frontier that represents the optimal trade-offs between the two conflicting objectives of minimizing portfolio risk and maximizing expected return. The problem of determining an efficient frontier is known to be NP-Hard. Due to the complexity of the problem, a wide range of metaheuristic algorithms has been widely applied to obtain high-quality solutions within a reasonable computational time. In this study, we employed metaheuristic algorithms, including particle swarm optimization (PSO), the imperialist competitive algorithm (ICA), grey wolf optimization (GWO) and weIghted meaN oF vectOrs (INFO), to solve this problem. To demonstrate the effectiveness of the proposed method, monthly price data of companies listed on the Tehran Stock Exchange over the period from December 1, 2023, to December 31, 2025, were utilized. Experimental results indicate that the INFO optimizer outperformed the other algorithms, achieving higher returns at a given level of risk.
Keywords
portfolio optimization
metaheuristic algorithms
financial engineering
efficient frontier
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International Journal of Finance & Managerial Accounting

Articles in Press, Accepted Manuscript
Available Online from 27 September 2026