Differential Evolution Algorithm for Solving the Portfolio Optimization Problem

被引：0
|
作者：
Homchenko, A. A. [1 ]
Grishina, N. P. [1 ]
Lucas, C. [2 ]
Sidorov, S. P. [1 ]
机构：
[1] Saratov NG Chernyshevskii State Univ, Astrahanskaya St 83, Saratov 410012, Russia
[2] Brunel Univ, London UB8 3PH, England
来源：
IZVESTIYA SARATOVSKOGO UNIVERSITETA NOVAYA SERIYA-MATEMATIKA MEKHANIKA INFORMATIKA | 2013年 / 13卷 / 02期
关键词：
heuristic search; portfolio optimization problem; prospect theory;
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In the paper we develop metaheuristic method based on differential evolution for finding efficient frontier in solving the portfolio optimisation problem for investor with non concave utility function which reflects asymmetric investor attitude to losses and gains.
引用
收藏
页码：16 / 16
页数：1
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