Research on the Portfolio Optimization Model under Quantitative Constraint Based on Genetic Algorithm - Journal of Mathematical Finance

JMF > Vol.6 No.4, November 2016

Journal of Mathematical Finance

Volume 6, Issue 4 (November 2016)

ISSN Print: 2162-2434 ISSN Online: 2162-2442

Google-based Impact Factor: 1.39 Citations

Research on the Portfolio Optimization Model under Quantitative Constraint Based on Genetic Algorithm ()

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DOI: 10.4236/jmf.2016.64037 3,043 Downloads 5,150 Views Citations

Author(s)

Shunquan Zhu

Affiliation(s)

School of Finance, Guangdong University of Finance & Economics, Guangzhou, China.

ABSTRACT

This paper is based on covariance and expected return, building portfolio risk optimization model. Using Genetic Algorithm and Quadratic Programming, three securities portfolio Optimization model is resolved, and we find that Genetic Algorithm having priority for Restraint Conditions is not a linear model.

KEYWORDS

Portfolio Optimization Decision Making, Quadratic Programming, Genetic Algorithm

Share and Cite:

Zhu, S. (2016) Research on the Portfolio Optimization Model under Quantitative Constraint Based on Genetic Algorithm. Journal of Mathematical Finance, 6, 465-470. doi: 10.4236/jmf.2016.64037.

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