期刊
EXPERT SYSTEMS WITH APPLICATIONS
卷 36, 期 7, 页码 10529-10537出版社
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.eswa.2009.02.062
关键词
Genetic algorithm; Portfolio optimization; Mean-variance; Semi-variance; Mean absolute deviation; Variance with skewness; Cardinality constrained efficient frontier
This paper introduces a heuristic approach to portfolio optimization problems in different risk measures by employing genetic algorithm (GA) and compares its performance to mean-variance model in cardinality constrained efficient frontier. To achieve this objective, we collected three different risk measures based upon mean-variance by Markowitz; semi-variance, mean absolute deviation and variance with skewness. We show that these portfolio optimization problems can now be solved by genetic algorithm if mean-variance, semi-variance, mean absolute deviation and variance with skewness are used as the measures of risk. The robustness of our heuristic method is verified by three data sets collected from main financial markets. The empirical results also show that the investors should include only one third of total assets into the portfolio which outperforms than those contained more assets. (C) 2009 Elsevier Ltd. All rights reserved.
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