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Public Portfolio Selection Combining Genetic Algorithms and Mathematical Decision Analysis by Eduardo FernГЎndez-GonzГЎlez

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Published by INTECH Open Access Publisher .
Written in English


Book details:

Edition Notes

En.

ContributionsInés Vega-López, author, Jorge Navarro-Castillo, author
The Physical Object
Pagination1 online resource
ID Numbers
Open LibraryOL27021298M
ISBN 109535102141
ISBN 109789535102144
OCLC/WorldCa884210723

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Download Citation | On Mar 7, , Eduardo Fern ndez-Gonz lez and others published Public Portfolio Selection Combining Genetic Algorithms and Mathematical Decision Analysis | Find, read and cite. Mathematically speaking, portfolio selection refers to the formulation of an objective function that determines the weights of the portfolio invested in each asset as to maximize return and minimize risk. This paper applies the method of genetic algorithm (GA) to obtain an optimal portfolio selection. The selection of optimal portfolios is the central problem of financial investment decisions. Mathematically speaking, portfolio selection refers to the formulation of an objective function that determines the weights of the portfolio invested in each asset as to maximize return and minimize risk. This paper applies the method of genetic algorithm (GA) to obtain an optimal portfolio selection. Chapter 8 Public Portfolio Selection Combining Genetic Algorithms and Mathematical Decision Analysis. Eduardo Fernández-González, Inés Vega-López and Jorge Navarro-Castillo Chapter 9 The Search for Parameters and Solutions: Applying Genetic Algorithms on Astronomy and Engineering. Annibal Hetem Size: 84KB.

Chapter 5 Stock Portfolio Selection using Genetic Algorithm deviation of return, and model a portfolio as a weighted combination of assets, so that the return of a portfolio is the weighted combination of the assets' returns. By combining different assets whose returns are not perfectly positively correlated, MPT seeks to. Genetic Algorithms in Multi-Stage Portfolio Optimization System Man-Chung CHAN 1, Chi-Cheong WONG 1, Bernard K-S Cheung 2, Gordon Y-N Tang3 1Department of Computing, The Hong Kong Polytechnic University, Hong Kong 2GERAD and Ecole Polytechique de Montreal, C anada 3Dept of Finance and Decision Sciences, Hong Kong Baptist University, Hong Kong e-mail: . The selection and optimization of Stock portfolio using genetic algorithm based on Abstract—the selection of stock portfolio is the allocation of capital among different stock options in a way that this investment provides its stockholder with the most interest. The To design the genetic algorithm, the accurate selection of. Portfolio Optimization and Genetic Algorithms Master’s Thesis Department of Management, Technology and Economics - DMTEC Chair of Entrepreneurial Risks - ER Swiss Federal Institute of Technology (ETH) Zurich Ecole Nationale des Ponts et Chauss ees (ENPC) Paris Supervisors: Prof. Dr. Didier Sornette Prof. Dr. Bernard Lapeyre Zurich,

Public Portfolio Selection Combining Genetic Algorithms and Mathematical Decision Analysis By Eduardo Fernández-González, Inés Vega-López and Jorge Navarro-Castillo Related BookAuthor: José Luis Castillo Sequera. decision are presented. Second, the adaptive genetic algorithm to solve the reliability decision is given. Finally, a numerical example of portfolio selection problem is given to illustrate our proposed effective means. Key words: Adaptive genetic algorithms, Portfolio selection, stochastic optimization 1. Introduction John Holland is the. Variance of a portfolio is the first type of mathematical definition of risk for portfolio selection, and was initialized by Markowitz. Markowitz quantified portfolio return by Cited by: Let us consider a public portfolio selection problem under the following assumptions: (1) States of the social subject under analysis are characterized by a finite set of independent criteria F = {f 1, f 2, , f N}. Without loss of generality we suppose that higher values of criteria are preferred over smaller by: