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Multi-Attribute Portfolio Selection with Genetic Optimization Algorithms

文献类型：期刊论文

作者Yu, Lean1; Wang, Shouyang1; Lai, Kin Keung2
刊名INFOR
出版日期2009-02-01
卷号47期号:1页码:23-30
关键词Multi-attribute portfolio selection asset quality evaluation asset allocation mean-variance model genetic algorithm
ISSN号0315-5986
DOI10.3138/infor.47.1.23
英文摘要The traditional portfolio theory first proposed by Markowitz only provides a solution to capital allocation to a pre-determined set of assets, regardless of asset quality. To remedy this gap, a multi-attribute asset quality analysis, before asset allocation, is proposed. Thus a two-stage multi-attribute portfolio selection framework that considers asset quality, as well as asset allocation, is formulated. For solving the proposed portfolio selection problem, this study applies genetic algorithms for multi-attribute portfolio selection and analysis. In the first stage, i.e. asset quality evaluation, a genetic algorithm is used to identify good quality assets in terms of asset ranking. In the asset allocation stage, allocation of capital to individual high-quality assets is optimized using another genetic algorithm based on Markowitz's mean-variance theory. Through the two-stage asset evaluation and allocation process, an optimal portfolio can be determined in the context of considering both multiple asset return attributes and risk exposures. Experimental results reveal that the proposed multi-attribute portfolio selection framework provides a very feasible and useful tool to assist investors in planning their investment strategy and constructing their portfolios.
资助项目National Natural Science Foundation of China[70221001] ; National Natural Science Foundation of China[70601029] ; Chinese Academy of Sciences ; NSFC/RGC Joint Research Scheme[N_CityU110/07]
WOS研究方向Computer Science ; Operations Research & Management Science
语种英语
WOS记录号WOS:000273773300004
出版者UNIV TORONTO PRESS INC
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/7068]  
专题系统科学研究所
通讯作者Yu, Lean
作者单位1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
2.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
推荐引用方式
GB/T 7714		 Yu, Lean,Wang, Shouyang,Lai, Kin Keung. Multi-Attribute Portfolio Selection with Genetic Optimization Algorithms[J]. INFOR,2009,47(1):23-30.
APA Yu, Lean,Wang, Shouyang,&Lai, Kin Keung.(2009).Multi-Attribute Portfolio Selection with Genetic Optimization Algorithms.INFOR,47(1),23-30.
MLA Yu, Lean,et al."Multi-Attribute Portfolio Selection with Genetic Optimization Algorithms".INFOR 47.1(2009):23-30.

入库方式： OAI收割

来源：数学与系统科学研究院

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