Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4634518 | Applied Mathematics and Computation | 2007 | 7 Pages |
Abstract
Variance is substituted by semi-variance in Markowitz’s portfolio selection model. Moreover, one period portfolio selection is extended to multi-period. In this paper, a class of multi-period semi-variance model is formulated originally. Besides, a hybrid genetic algorithm (GA), which makes use of the position displacement strategy of the particle swarm optimizer (PSO) as a mutation operation, is applied to solve the multi-period semi-variance model. For this class of portfolio model, numerical results show that the hybrid GA with PSO is effective and feasible.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Wei Yan, Rong Miao, Shurong Li,