Uncertain mean-risk index portfolio selection considering inflation: Chaos adaptive genetic algorithm

被引：0
作者：
Kwang-Il Choe
Xiaoxia Huang
Di Ma
机构：
[1] University of Science and Technology Beijing,School of Economics and Management
[2] Pyongyang University of Mechanical Engineering,School of Mathematics
[3] Zhengzhou University Of Aeronautics, School of Economics
来源：
International Journal of Machine Learning and Cybernetics | 2024年 / 15卷
关键词：
Portfolio; Risk Index; Genetic Algorithm; Uncertainty Theory; Inflation;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper discusses a mean-risk index model and the solution algorithm for portfolio selection considering inflation under the uncertain environment. Firstly, we propose an uncertain mean-risk index model considering inflation which is one of the most general multiplicative background risks. To get the optimal solution of the proposed model, we provide a chaos adaptive genetic algorithm (CAGA), which is an improvement of the adaptive genetic algorithm (AGA). Through numerical experiments, the performances of the proposed algorithm are tested. Comparison with other genetic algorithms shows the better performance of the proposed algorithm. Finally, a numerical example is given to demonstrate the application of the proposed model.
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页码：1261 / 1275
页数：14
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