Multi-period semi-variance portfolio selection: Model and numerical solution

Variance is substituted by semi-variance in Markowitz's portfolio selection model. Moreover, one period portfolio selection is extended to multi-period. In this paper, a class of multi-period semi-variance model is formulated originally. Besides, a hybrid genetic algorithm (GA), which makes use of the position displacement strategy of the particle swarm optimizer (PSO) as a mutation operation, is applied to solve the multi-period semi-variance model. For this class of portfolio model, numerical results show that the hybrid GA with PSO is effective and feasible. (c) 2007 Elsevier Inc. All rights reserved.