Models for portfolio management on enhancing periodic consideration and portfolio selection

Tak Chung Fu, Chak Man Ng, Ka Wai Wong, Fu Lai Korris Chung

Research output: Chapter in book / Conference proceedingConference article published in proceeding or bookAcademic researchpeer-review

Abstract

This research proposes two new models, Recent Period Importance Model and w-Value Model, for portfolio selection where risk tolerance and periodic parameter are considered as variables. Genetic Algorithm is used to solve the optimization problem for portfolio selection. These two new models will be illustrated by example and compared with the traditional Markowitz Model.
Original languageEnglish
Title of host publicationProceedings - 2011 7th International Conference on Natural Computation, ICNC 2011
Pages176-180
Number of pages5
Volume1
DOIs
Publication statusPublished - 6 Oct 2011
Event2011 7th International Conference on Natural Computation, ICNC 2011 - Shanghai, China
Duration: 26 Jul 201128 Jul 2011

Conference

Conference2011 7th International Conference on Natural Computation, ICNC 2011
CountryChina
CityShanghai
Period26/07/1128/07/11

Keywords

  • genetic algorithm
  • Markowitz model
  • portfolio management

ASJC Scopus subject areas

  • Computational Theory and Mathematics
  • Neuroscience(all)

Cite this