scholarly journals Research on the Portfolio Optimization Model under Quantitative Constraint Based on Genetic Algorithm

2016 ◽  
Vol 06 (04) ◽  
pp. 465-470
Author(s):  
Shunquan Zhu
Keyword(s):  
Genetic Algorithm ◽  
Portfolio Optimization ◽  
Optimization Model ◽  
Portfolio Optimization Model

scholarly journals A Convex-Risk-Measure Based Model and Genetic Algorithm for Portfolio Selection

2015 ◽  
Vol 2015 ◽  
pp. 1-8 ◽  
Author(s):  
Weijia Wang ◽  
Jie Hu ◽  
Ning Dong
Keyword(s):  
Genetic Algorithm ◽  
Portfolio Optimization ◽  
Portfolio Selection ◽  
Optimization Model ◽  
Stock Exchange ◽  
Risk Measure ◽  
Convex Risk Measure ◽  
Proposed Model ◽  
Portfolio Optimization Model ◽  
Set Up

A convex risk measure called weighted expected shortfall (briefly denoted as WES (Chen and Yang, 2011)) is adopted as the risk measure. This measure can reflect the reasonable risk in the stock markets. Then a portfolio optimization model based on this risk measure is set up. Furthermore, a genetic algorithm is proposed for this portfolio optimization model. At last, simulations are made on randomly chosen ten stocks for 60 days (during January 2, 2014 to April 2, 2014) from Wind database (CFD) in Shenzhen Stock Exchange, and the results indicate that the proposed model is reasonable and the proposed algorithm is effective.

A portfolio optimization model for corporate bonds subject to credit risk

2004 ◽  
Vol 6 (2) ◽  
pp. 31-48 ◽  
Author(s):  
Nagisa Akutsu ◽  
Masaaki Kijima ◽  
Katsuya Komoribayashi
Keyword(s):  
Credit Risk ◽  
Portfolio Optimization ◽  
Optimization Model ◽  
Corporate Bonds ◽  
Portfolio Optimization Model

Portfolio Optimization Model with Transaction Costs

2002 ◽  
Vol 18 (2) ◽  
pp. 231-248 ◽  
Author(s):  
Shu-ping Chen ◽  
Chong Li ◽  
Sheng-hong Li ◽  
Xiong-wei Wu
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Optimization Model ◽  
Portfolio Optimization Model

A mean-absolute deviation-skewness portfolio optimization model

1993 ◽  
Vol 45 (1) ◽  
pp. 205-220 ◽  
Author(s):  
Hiroshi Konno ◽  
Hiroshi Shirakawa ◽  
Hiroaki Yamazaki
Keyword(s):  
Portfolio Optimization ◽  
Optimization Model ◽  
Mean Absolute Deviation ◽  
Absolute Deviation ◽  
Portfolio Optimization Model

scholarly journals Whale Optimization Algorithm for Multiconstraint Second-Order Stochastic Dominance Portfolio Optimization

2020 ◽  
Vol 2020 ◽  
pp. 1-19
Author(s):  
Q. H. Zhai ◽  
T. Ye ◽  
M. X. Huang ◽  
S. L. Feng ◽  
H. Li
Keyword(s):  
Portfolio Optimization ◽  
Optimization Algorithm ◽  
Stochastic Dominance ◽  
Optimization Model ◽  
Second Order ◽  
Whale Optimization Algorithm ◽  
Order Stochastic Dominance ◽  
Whale Optimization ◽  
Portfolio Optimization Model ◽  
Second Order Stochastic Dominance

In the field of asset allocation, how to balance the returns of an investment portfolio and its fluctuations is the core issue. Capital asset pricing model, arbitrage pricing theory, and Fama–French three-factor model were used to quantify the price of individual stocks and portfolios. Based on the second-order stochastic dominance rule, the higher moments of return series, the Shannon entropy, and some other actual investment constraints, we construct a multiconstraint portfolio optimization model, aiming at comprehensively weighting the returns and risk of portfolios rather than blindly maximizing its returns. Furthermore, the whale optimization algorithm based on FTSE100 index data is used to optimize the above multiconstraint portfolio optimization model, which significantly improves the rate of return of the simple diversified buy-and-hold strategy or the FTSE100 index. Furthermore, extensive experiments validate the superiority of the whale optimization algorithm over the other four swarm intelligence optimization algorithms (gray wolf optimizer, fruit fly optimization algorithm, particle swarm optimization, and firefly algorithm) through various indicators of the results, especially under harsh constraints.

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