کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
482123 1446182 2008 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Genetic algorithms for portfolio selection problems with minimum transaction lots
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Genetic algorithms for portfolio selection problems with minimum transaction lots
چکیده انگلیسی

Conventionally, portfolio selection problems are solved with quadratic or linear programming models. However, the solutions obtained by these methods are in real numbers and difficult to implement because each asset usually has its minimum transaction lot. Methods considering minimum transaction lots were developed based on some linear portfolio optimization models. However, no study has ever investigated the minimum transaction lot problem in portfolio optimization based on Markowitz’ model, which is probably the most well-known and widely used. Based on Markowitz’ model, this study presents three possible models for portfolio selection problems with minimum transaction lots, and devises corresponding genetic algorithms to obtain the solutions. The results of the empirical study show that the portfolios obtained using the proposed algorithms are very close to the efficient frontier, indicating that the proposed method can obtain near optimal and also practically feasible solutions to the portfolio selection problem in an acceptable short time. One model that is based on a fuzzy multi-objective decision-making approach is highly recommended because of its adaptability and simplicity.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 185, Issue 1, 16 February 2008, Pages 393–404
نویسندگان
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