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
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;
Conference_Titel :
Natural Computation (ICNC), 2011 Seventh International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4244-9950-2
DOI :
10.1109/ICNC.2011.6022041
