• 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