Portfolio Optimization with Cardinality Constraints Based on Hybrid Differential Evolution
نویسندگان
چکیده
منابع مشابه
Portfolio Optimization with Cardinality Constraints Based on Hybrid Differential Evolution
A portfolio optimal model with cardinality constraints is researched, in which the minimum of Value-at-Risk is taken as the objective function. We give a hybrid differential evolution algorithm to solve the model and make the case study with sixteen alternative stocks from Shanghai and Shenzhen stock market. The numerical results show that the given model is reasonable and the given algorithm i...
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ژورنال
عنوان ژورنال: AASRI Procedia
سال: 2012
ISSN: 2212-6716
DOI: 10.1016/j.aasri.2012.06.048