|Appears in Collections:||Computing Science and Mathematics Conference Papers and Proceedings|
|Peer Review Status:||Refereed|
Parkes, Andrew J
|Title:||A Hybrid Genetic Algorithm for a Two-Stage Stochastic Portfolio Optimization With Uncertain Asset Prices|
|Citation:||Cui T, Bai R, Parkes AJ, He F, Qu R & Li J (2015) A Hybrid Genetic Algorithm for a Two-Stage Stochastic Portfolio Optimization With Uncertain Asset Prices In: 2015 IEEE Congress on Evolutionary Computation (CEC), Piscataway, NJ, USA: IEEE. 2015 IEEE Congress on Evolutionary Computation (CEC2015), Sendai, Japan, pp. 2518-2525.|
|Conference Name:||2015 IEEE Congress on Evolutionary Computation (CEC2015)|
|Conference Location:||Sendai, Japan|
|Abstract:||Portfolio optimization is one of the most important problems in the finance field. The traditional mean-variance model has its drawbacks since it fails to take the market uncertainty into account. In this work, we investigate a two-stage stochastic portfolio optimization model with a comprehensive set of real world trading constraints in order to capture the market uncertainties in terms of future asset prices. A hybrid approach, which integrates genetic algorithm (GA) and a linear programming (LP) solver is proposed in order to solve the model, where GA is used to search for the assets selection heuristically and the LP solver solves the corresponding sub-problems of weight allocation optimally. Scenarios are generated to capture uncertain prices of assets for five benchmark market instances. The computational results indicate that the proposed hybrid algorithm can obtain very promising solutions. Possible future research directions are also discussed.|
|Status:||Book Chapter: publisher version|
|Rights:||The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.|
|Cui-et-al-CEC2015.pdf||271.54 kB||Adobe PDF||Under Embargo until 31/12/2999 Request a copy|
Note: If any of the files in this item are currently embargoed, you can request a copy directly from the author by clicking the padlock icon above. However, this facility is dependant on the depositor still being contactable at their original email address.
This item is protected by original copyright
Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.
If you believe that any material held in STORRE infringes copyright, please contact email@example.com providing details and we will remove the Work from public display in STORRE and investigate your claim.