DocumentCode :
2639419
Title :
The research on portfolio optimization model and strategy for multiple objectives
Author :
Shang, Zhaoxia ; Liu, Hong
Author_Institution :
Shandong Provincial Key Lab. for Distrib. Comput. Software Novel Technol., Shandong Normal Univ., Jinan, China
fYear :
2010
fDate :
16-17 Aug. 2010
Firstpage :
291
Lastpage :
295
Abstract :
Application of multi-objective optimization method, the issue of portfolio risk is analyzed and simulated and the feasibility of the scheme is validated under the uncertain investment environment. Proposed the use of multi-objective optimization genetic algorithm portfolio risk measurement methods, this work educe the estimation Model of Risk-Minimization for Portfolio Investment Using such as Benefits and risks as Target, then gives a specific evolutionary algorithm, and finally, a simulation example.
Keywords :
genetic algorithms; investment; risk analysis; evolutionary algorithm; multiobjective optimization genetic algorithm; portfolio investment; portfolio optimization model; portfolio risk analysis; portfolio risk measurement method; risk-minimization; uncertain investment environment; Computational modeling; Industries; Investments; Mathematical model; Minimization; Optimization; Portfolios;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Web Society (SWS), 2010 IEEE 2nd Symposium on
Conference_Location :
Beijing
Print_ISBN :
978-1-4244-6356-5
Type :
conf
DOI :
10.1109/SWS.2010.5607437
Filename :
5607437
Link To Document :
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