Portfolio Optimization with Cardinality Constraints Based on Hybrid Differential Evolution

被引：8
|
作者：
Ma, Xiaohua [1 ]
Gao, Yuelin [1 ]
Wang, Bo [1 ]
机构：
[1] Beifang Univ Nationalities, Inst Informat & Syst Sci, Yinchuan 750021, Peoples R China
来源：
AASRI CONFERENCE ON COMPUTATIONAL INTELLIGENCE AND BIOINFORMATICS | 2012年 / 1卷
关键词：
Portfolio optimization; Value-at-Risk(VaR); Cardinality constraints; hybrid differential evolution;
D O I：
10.1016/j.aasri.2012.06.048
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
A portfolio optimal model with cardinality constraints is researched, in which the minimum of Value-at-Risk is taken as the objective function. We give a hybrid differential evolution algorithm to solve the model and make the case study with sixteen alternative stocks from Shanghai and Shenzhen stock market. The numerical results show that the given model is reasonable and the given algorithm is effective. (C) 2012 Published by Elsevier B. V. Selection and/or peer review under responsibility of American Applied Science Research Institute
引用
收藏
页码：311 / 317
页数：7
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