Intelligent method for dynamic portfolio selection with probability criterion

被引：2
|
作者：
Tang, WS [1 ]
Wang, YQ [1 ]
机构：
[1] Tianjin Univ, Inst Syst Engn, Tianjin 300072, Peoples R China
来源：
2004 IEEE INTERNATIONAL CONFERENCE ON SYSTEMS, MAN & CYBERNETICS, VOLS 1-7 | 2004年
关键词：
dynamic portfolio selection; probability criterion; stochastic simulation; genetic algorithm; artificial neural network;
D O I：
10.1109/ICSMC.2004.1400854
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The intelligent method for solving the problem of dynamic portfolio selection with probability criterion is investigated in this paper. The criterion function is the sum of probability that the return rate of portfolio at the end of each period is not less than a given evected rate or the probability that the terminal return rate of portfolio is no less than a given expected rate. Since the criterion function can not be calculated by analytic formulation, the traditional methods for solving it are no longer valid. The purpose of this paper, therefore, is focus on to design a new method for the problem of dynamic portfolio selection with probability criterion. The stochastic simulation based genetic algorithm and articial neural network are embedded within dynamic programming, and the intelligent method for solving the optimal problem is given. Two examples show that this intelligent method is ef cient.
引用
收藏
页码：3323 / 3327
页数：5
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