Asset portfolio optimization using support vector machines and real‐coded genetic algorithm

Asset portfolio optimization using support vector machines and real‐coded genetic algorithm

0.00 Avg rating0 Votes
Article ID: iaor20124145
Volume: 53
Issue: 2
Start Page Number: 297
End Page Number: 315
Publication Date: Jun 2012
Journal: Journal of Global Optimization
Authors: , ,
Keywords: heuristics: genetic algorithms, programming: mathematical
Abstract:

This paper presents an integrated approach for portfolio selection in a multicriteria decision making framework. Firstly, we use Support Vector Machines for classifying financial assets in three pre‐defined classes, based on their performance on some key financial criteria. Next, we employ Real‐Coded Genetic Algorithm to solve a mathematical model of the multicriteria portfolio selection problem in the respective classes incorporating investor‐preferences.

Reviews

Required fields are marked *. Your email address will not be published.