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
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;
Conference_Titel :
Web Society (SWS), 2010 IEEE 2nd Symposium on
Conference_Location :
Beijing
Print_ISBN :
978-1-4244-6356-5
DOI :
10.1109/SWS.2010.5607437