DocumentCode
553959
Title
Models for portfolio management on enhancing periodic consideration and portfolio selection
Author
Tak-chung Fu ; Chak-man Ng ; Ka-wai Wong ; Fu-Lai Chung
Author_Institution
Dept. of Comput. & Inf. Manage., Hong Kong Inst. of Vocational Educ., Hong Kong, China
Volume
1
fYear
2011
fDate
26-28 July 2011
Firstpage
176
Lastpage
180
Abstract
This research proposes two new models, Recent Period Importance Model and w-Value Model, for portfolio selection where risk tolerance and periodic parameter are considered as variables. Genetic Algorithm is used to solve the optimization problem for portfolio selection. These two new models will be illustrated by example and compared with the traditional Markowitz Model.
Keywords
genetic algorithms; investment; genetic algorithm; optimization problem; period importance model; periodic parameter; portfolio management; portfolio selection; risk tolerance; w-value model; Accuracy; Biological cells; Computational modeling; Data models; Investments; Mathematical model; Portfolios; Markowitz model; genetic algorithm; portfolio management;
fLanguage
English
Publisher
ieee
Conference_Titel
Natural Computation (ICNC), 2011 Seventh International Conference on
Conference_Location
Shanghai
ISSN
2157-9555
Print_ISBN
978-1-4244-9950-2
Type
conf
DOI
10.1109/ICNC.2011.6022041
Filename
6022041
Link To Document