Makale detayı · 2017
A review on the current applications of genetic algorithms in mean-variance portfolio optimization
Pamukkale University Journal of Engineering Sciences
- Yıl
- 2017
- ISSN
1300-7009- Tür
- article
Veri kaynağı ayrımı
- YÖKSİS YÖKSİS makale kaydı
- OpenAlex OpenAlex zenginleştirmesi (özet, atıf, konular)
Özet
İngilizce (OpenAlex)
Mean-varianceportfolio optimization model, introduced by Markowitz, provides a fundamentalanswer to the problem of portfolio management. This model seeks an efficientfrontier with the best trade-offs between two conflicting objectives ofmaximizing return and minimizing risk. The problem of determining an efficientfrontier is known to be NP-hard. Due to the complexity of the problem, geneticalgorithms have been widely employed by a growing number of researchers tosolve this problem. In this study, a literature review of genetic algorithmsimplementations on mean-variance portfolio optimization is examined from therecent published literature. Main specifications of the problems studied andthe specifications of suggested genetic algorithms have been summarized.
Konular
- Simulation Techniques and Applications
- Advanced Manufacturing and Logistics Optimization
- Metaheuristic Optimization Algorithms Research
Birincil konu Simulation Techniques and Applications