Models for portfolio management on enhancing periodic consideration and portfolio selection

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

doi:10.1109/ICNC.2011.6022041

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 proceeding › Conference article published in proceeding or book › Academic research › peer-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 language	English
Title of host publication	Proceedings - 2011 7th International Conference on Natural Computation, ICNC 2011
Pages	176-180
Number of pages	5
Volume	1
DOIs	https://doi.org/10.1109/ICNC.2011.6022041
Publication status	Published - 6 Oct 2011
Event	2011 7th International Conference on Natural Computation, ICNC 2011 - Shanghai, China Duration: 26 Jul 2011 → 28 Jul 2011

Conference

Conference	2011 7th International Conference on Natural Computation, ICNC 2011
Country/Territory	China
City	Shanghai
Period	26/07/11 → 28/07/11

Keywords

genetic algorithm
Markowitz model
portfolio management

ASJC Scopus subject areas

Computational Theory and Mathematics
General Neuroscience

More information

10.1109/ICNC.2011.6022041

Cite this

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title = "Models for portfolio management on enhancing periodic consideration and portfolio selection",

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.",

keywords = "genetic algorithm, Markowitz model, portfolio management",

author = "Fu, \{Tak Chung\} and Ng, \{Chak Man\} and Wong, \{Ka Wai\} and Chung, \{Fu Lai Korris\}",

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doi = "10.1109/ICNC.2011.6022041",

language = "English",

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volume = "1",

pages = "176--180",

booktitle = "Proceedings - 2011 7th International Conference on Natural Computation, ICNC 2011",

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Fu, TC, Ng, CM, Wong, KW & Chung, FLK 2011, Models for portfolio management on enhancing periodic consideration and portfolio selection. in Proceedings - 2011 7th International Conference on Natural Computation, ICNC 2011. vol. 1, 6022041, pp. 176-180, 2011 7th International Conference on Natural Computation, ICNC 2011, Shanghai, China, 26/07/11. https://doi.org/10.1109/ICNC.2011.6022041

Models for portfolio management on enhancing periodic consideration and portfolio selection. / Fu, Tak Chung; Ng, Chak Man; Wong, Ka Wai et al.
Proceedings - 2011 7th International Conference on Natural Computation, ICNC 2011. Vol. 1 2011. p. 176-180 6022041.

Research output: Chapter in book / Conference proceeding › Conference article published in proceeding or book › Academic research › peer-review

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AU - Chung, Fu Lai Korris

PY - 2011/10/6

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N2 - 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.

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DO - 10.1109/ICNC.2011.6022041

M3 - Conference article published in proceeding or book

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BT - Proceedings - 2011 7th International Conference on Natural Computation, ICNC 2011

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ER -

Models for portfolio management on enhancing periodic consideration and portfolio selection

Abstract

Conference

Keywords

ASJC Scopus subject areas

More information

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