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has been cited by the following article:

• TITLE: Portfolio Selection by Maximizing Omega Function using Differential Evolution

  AUTHORS: PEKÁR Juraj, BREZINA Ivan, ČIČKOVÁ Zuzana, REIFF Marian

  KEYWORDS: differential evolution, Omega function, problem of portfolio selection

  JOURNAL NAME: Technology and Investment, Vol.4 No.1B, January 17, 2013

  ABSTRACT: Paper presents alternative solution seeking approach for portfolio selection problem with Omega function performance measure which allows determining capital allocation over the number of assets. Omega function computability is diffi-cult due to substandard structures and therefore the use of standard techniques seems to be relatively complicated. Dif-ferential evolution from the group of evolutionary algorithms was selected as an alternative computing procedure. Al-ternative approach is analyzed on the Down Jones Industrial Index data. Presented approach enables to determine good real-time solution and the quality of results is comparable with results obtained by professional software.