A hybrid genetic quantitative algorithm for portfolio selection optimization

被引：0
|
作者：
Liu, ZD [1 ]
机构：
[1] Cent Univ Finance & Econ, Dept Investment, Beijing 100081, Peoples R China
来源：
Proceedings of the 2005 International Conference on Management Science & Engineering (12th), Vols 1- 3 | 2005年
关键词：
VaR and CVaR; portfolio selection; genetic algorithm; simplex search;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Firstly, Portfolio selection optimization model based on VaR and CVaR is developed. According to the fact of VaR's no convexity and the discontinuity in distribution, which make the computation of the portfolio selection optimization very complex and inaccurate, the article designed a hybrid genetic quantitative algorithm based on Nelder-Mead simplex and traditional genetic algorithms. Finally, according to the data from China security market, the article does empirical research for the portfolio selection model by the hybrid genetic quantitative algorithm.
引用
收藏
页码：1834 / 1838
页数：5
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