IMPROVED GENETIC ALGORITHM TO OPTIMAL PORTFOLIO WITH RISK CONTROL

被引：2
|
作者：
Ye Zhongxing
Zhang Yijun(Dept. of Applied Mathematics) (Application Solution & Technolodge Inc.
机构：
来源：
JournalofShanghaiJiaotongUniversity | 1996年 / 02期
关键词：
genetic algorithm; stock; optimal portfolio; risk;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
A modified model of optimal investment port folio in a random market with risk constraints is presented. An improved genetic algorithm (GA) is proposed to solve this nonlinear optimal problem. The numerical simulation of a large-scale investment combination for Shanghai stock market shows that GA has the advantage of faster convergence and wider adaptability than traditional optimization algorithm. This result alsodemonstrates that the improved GA performs better than the basic GA.
引用
收藏
页码：9 / 16
页数：8
相关论文
共 50 条
  • [31] Improved genetic algorithm for optimal demand response in smart grid
    Jeyaranjani, J.
    Devaraj, D.
    Sustainable Computing: Informatics and Systems, 2022, 35
  • [32] Improved genetic algorithm for optimal multistage transmission system planning
    Wang, XL
    Wang, XF
    Mao, YB
    2001 POWER ENGINEERING SOCIETY SUMMER MEETING, VOLS 1-3, CONFERENCE PROCEEDINGS, 2001, : 1737 - 1742
  • [33] Improved genetic algorithm for optimal design of transverse flux inductor
    Yang, XG
    Wang, YH
    Zhang, LX
    Liu, SZ
    ICEMS 2005: PROCEEDINGS OF THE EIGHTH INTERNATIONAL CONFERENCE ON ELECTRICAL MACHINES AND SYSTEMS, VOLS 1-3, 2005, : 2339 - 2342
  • [34] A Novel Improved Genetic Algorithm and Application in Mechanical Optimal Design
    Wang, Z. M.
    Cai, Y. J.
    Miao, D. H.
    ADVANCES IN MATERIALS MANUFACTURING SCIENCE AND TECHNOLOGY XIII, VOL II: MODERN DESIGN THEORY AND METHODOLOGY, MEMS AND NANOTECHNOLOGY, AND MATERIAL SCIENCE AND TECHNOLOGY IN MANUFACTURING, 2009, 628-629 : 263 - 268
  • [35] Optimal design of pressure vessel using an improved genetic algorithm
    Peng-fei Liu
    Ping Xu
    Shu-xin Han
    Jin-yang Zheng
    Journal of Zhejiang University-SCIENCE A, 2008, 9 : 1264 - 1269
  • [36] Optimal design of pressure vessel using an improved genetic algorithm
    Liu, Peng-fei
    Xu, Ping
    Han, Shu-xin
    Zheng, Jin-yang
    JOURNAL OF ZHEJIANG UNIVERSITY-SCIENCE A, 2008, 9 (09): : 1264 - 1269
  • [37] The Improved Optimal Gradient PV MPPT Control Algorithm
    Gao Zheng-zhong
    Zhao Li-na
    Bai Xing-zhen
    Guo Jin-jian
    Wang Li-zhi
    MODERN TECHNOLOGIES IN MATERIALS, MECHANICS AND INTELLIGENT SYSTEMS, 2014, 1049 : 557 - 561
  • [38] An improved genetic algorithm for optimal reconfiguration of radial distribution systems
    Prasad, K
    Sahoo, NC
    Ranjan, R
    Chaturvedi, A
    PROCEEDINGS OF THE 23RD IASTED INTERNATIONAL CONFERENCE ON MODELLING, IDENTIFICATION, AND CONTROL, 2004, : 132 - 136
  • [39] Optimal design of centrifugal impeller from improved genetic algorithm
    Sch. of Energy and Power Eng., Xi'an Jiaotong Univ., Xi'an 710049, China
    Hsi-An Chiao Tung Ta Hsueh/Journal of Xi'an Jiaotong University, 2001, 35 (09): : 914 - 917
  • [40] Improved genetic algorithm for optimal demand response in smart grid
    Jeyaranjani, J.
    Devaraj, D.
    SUSTAINABLE COMPUTING-INFORMATICS & SYSTEMS, 2022, 35
12345