Simulated annealing algorithm for optimal capital growth

• Extension of the capital growth under multi games case.
• Dynamic optimal capital growth of a portfolio was investigated.
• A general framework that one strives to maximize growth was developed.
• Simulated annealing algorithm was investigated to solve the framework.
• Performance and risk parameter based on real financial data was calculated.

We investigate the problem of dynamic optimal capital growth of a portfolio. A general framework that one strives to maximize the expected logarithm utility of long term growth rate was developed. Exact optimization algorithms run into difficulties in this framework and this motivates the investigation of applying simulated annealing optimized algorithm to optimize the capital growth of a given portfolio. Empirical results with real financial data indicate that the approach is inspiring for capital growth portfolio.