Yi Chen
ABSTRACT
A portfolio optimization problem involves optimal allocation of finite capital to a series of assets to achieve an acceptable trade-off between profit and risk in a given investment period. In the paper, the extended Markowitz's mean-variance portfolio optimization model is studied with some practical constraints. We introduce a new operator and an adaptive strategy for improving the performance of the multi-dimensional mapping algorithm (MDM) proposed specially for the portfolio optimization. Experimental results show that the modification is efficient on tackling large-scale portfolio problems.
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- Yi Chen, Aimin Zhou, Rongfang Zhou, Peng He, Yong Zhao, and Lihua Dong. 2017. An Evolutionary Algorithm with a New Coding Scheme for Multi-objective Portfolio Optimization. In Asia-Pacific Conference on Simulated Evolution and Learning. Springer, 97--109.Google ScholarCross Ref
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- An evolutionary algorithm with a new operator and an adaptive strategy for large-scale portfolio problems
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