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

被引：3
|
作者：
Wang, Weijia [1 ]
Hu, Jie [1 ]
Dong, Ning [2 ,3 ]
机构：
[1] Shaanxi Normal Univ, Int Business Sch, Xian 710119, Peoples R China
[2] Xidian Univ, Sch Math & Stat, Xian 710071, Peoples R China
[3] Shaanxi Normal Univ, Sch Math & Informat Sci, Xian 710119, Peoples R China
来源：
MATHEMATICAL PROBLEMS IN ENGINEERING | 2015年 / 2015卷
基金：
中国国家自然科学基金;
关键词：
EVOLUTIONARY ALGORITHM; OPTIMIZATION;
D O I：
10.1155/2015/451627
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
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.
引用
收藏
页数：8
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