Portfolio Optimization with Cardinality Constraints Based on Hybrid Differential Evolution
نویسندگان
چکیده
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 is effective. © 2012 Published by Elsevier B.V. Selection and/or peer review under responsibility of American Applied Science Research Institute
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تاریخ انتشار 2015