کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5102726 | 1480090 | 2017 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Fireworks algorithm for mean-VaR/CVaR models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Fireworks algorithm for mean-VaR/CVaR models Fireworks algorithm for mean-VaR/CVaR models](/preview/png/5102726.png)
چکیده انگلیسی
Intelligent algorithms have been widely applied to portfolio optimization problems. In this paper, we introduce a novel intelligent algorithm, named fireworks algorithm, to solve the mean-VaR/CVaR model for the first time. The results show that, compared with the classical genetic algorithm, fireworks algorithm not only improves the optimization accuracy and the optimization speed, but also makes the optimal solution more stable. We repeat our experiments at different confidence levels and different degrees of risk aversion, and the results are robust. It suggests that fireworks algorithm has more advantages than genetic algorithm in solving the portfolio optimization problem, and it is feasible and promising to apply it into this field.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 483, 1 October 2017, Pages 1-8
Journal: Physica A: Statistical Mechanics and its Applications - Volume 483, 1 October 2017, Pages 1-8
نویسندگان
Tingting Zhang, Zhifeng Liu,