Portfolio optimization problems in different risk measures using genetic algorithm

Chang, Tun-Jen; Yang, Sang-Chin; Chang, Kuang-Jung

doi:10.1016/j.eswa.2009.02.062

Cited by 239 publications

(127 citation statements)

References 19 publications

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“…They are stochastic search techniques based on the principles and policies of natural genetics and selection. The policy of genetic algorithms is that they start with a population of randomly generated particles and evolve towards better solutions by applying genetic operators, such as crossover and mutation, modeled on natural genetic inheritance and Darwinian survival of the fittest [1,2]. As in [3] the proposed GA for solving portfolio optimization is stated below:…”

Section: Ga Algorithm For Portfolio Optimizationmentioning

confidence: 99%

“…But in experimental may this condition not established. This model is a quadratic programming problem, for solving this model does not exit effective algorithms [1,2], because of this sake we use the PSO algorithm.…”

Section: Portfolio Selection Problemmentioning

confidence: 99%

“…Wolfe tried to solve Markowitz's model by Simplex algorithm [14]. Some heuristic methods based on Genetic Algorithm [1,2,3,7]. Loraschi presented Tabu Search (TS) in the literatures for the standard Markowitz portfolio selection problem [6].…”

Section: Introductionmentioning

confidence: 99%

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Portfolio Optimization Using Particle Swarm Optimization And Genetic Algorithm

Kamali¹

2014

J. Math. Computer Sci.

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This study basically employs the Markowitz mean-variance model for portfolio selection problem. Since this model is classified as a quadratic programming model there is not any efficient algorithm to solve it. The goal of this study is to find a feasible portfolio with a minimum risk through the application of heuristic algorithm. The two PSO and GA algorithm has been used. The results show that PSO approach is suitable in portfolio optimization.

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Section: Ga Algorithm For Portfolio Optimizationmentioning

confidence: 99%

Section: Portfolio Selection Problemmentioning

confidence: 99%

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Portfolio Optimization Using Particle Swarm Optimization And Genetic Algorithm

Kamali¹

2014

J. Math. Computer Sci.

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“…Jana et al (2009) proposed a possibilistic model with transaction cost and entropy function in objective functions. Chang et al (2009) considered different risk measures in their model such as variance, semivariance, variance with skewness and absolute deviation, and solved it using genetic algorithm. An important subject that has investigated in many portfolio optimization studies is cardinality.…”

Section: Introductionmentioning

confidence: 99%

A Two-Stage Method for Considering Cardinality in Portfolio Optimization of Mutual Funds

Alimi¹

2015

MAS

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Mutual funds are important financial institutes. There are several methods for performance evaluation of mutual funds such as portfolio optimization. Portfolio optimization has a basic model that has completed up to now. One of completions is adding cardinality constraint to the model. Considering cardinality in portfolio optimization model makes it an integer programming problem that solving it, is hard and makes the efficient frontier discontinuous. In current study in first stage we rank the mutual funds with VIKOR method and based on 5 characteristics: rate of return, variance, semivariance, Treynor ratio and Sharpe ratio. In second stage according to cardinality level best ranked mutual funds are chosen. A mean-semivariance portfolio optimization model is written using chosen funds. This model is solved using fuzzy technique programming and efficient frontier is obtained. Real data from NASDAQ based on 92 mutual funds are used to illustrate the effectiveness of proposed methodology. Results show that the efficient frontier obtained from our methodology is continuous and near to unconstrained efficient frontier.

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“…Thus it seems logical that the expected return of a portfolio should depend on the expected return of each of the security contained in the portfolio. A lot of research work has been done on portfolio optimization and these days many nature inspired techniques are also being surveyed [1][2][3][4][5][6][7][8][9][10][11][12][13][14][15][16][17][18][19].…”

Section: Introductionmentioning

confidence: 99%