The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
In this paper, we propose M-CVaR portfolio selection model under nonlinear transaction costs and minimum trading volumes. We use a quadratic function to approximate origin transaction costs function, set genetic algorithms, and analyse the M-CVaR model by real financial data. A series of numerical experiments shows that the model is reasonable and the algorithm is efficient. Further, we give that...
How to allocate the weights of stocks is an interesting technology in stock index optimized replicate. This paper proposed a hybrid algorithm of adaptive genetic algorithm and pattern search (AGA-PS) to find the optimal portfolio weights. In AGA-PS, the crossover probability and mutation probability are adjusted adaptively. The weight from adaptive genetic algorithm is as the search start point of...
ACO is a new distributed intelligent biologically-inspired algorithm simulated evolution, and is widely used for solving various combinatorial optimization problems. The simulation results showed that this method is better than genetic algorithm in the iterations and results. So ant system algorithm with variance as the risky measure indexes is better than basic ACO and genetic algorithm in real estate...
Within the mean-variance model of Markowitz portfolio framework, we propose a betterment portfolio optimize model, the optimize model take the risk value as the tools of risk measurement and use the risk adjustment return as the optimization function, at the same time solve portfolio by simulated annealing genetic algorithm and validate the model's validity in reality by empirical study. The model...
The investment on real estate companies has a direct impact on the competitiveness of their future markets; therefore there is an urgent need for investment portfolio optimization. The paper analyzes the characteristics of various types of real estate investment in the next run, using niche genetic algorithm with improved the probability of crossover and mutation. In addition, adding the budget constraints...
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.