TThe Stock Portfolios TSimulated Annealing Genetic Algorithm Based on RAROC
Within the mean-variance model of Markowitz portfolio framework, we propose a betterment portfolio optimize model, the optimize model take the risk value as the tools of risk measurement and use the risk adjustment return as the optimization function, at the same time solve portfolio by simulated annealing genetic algorithm and validate the models validity in reality by Tempirical studyT. The model accord with the risk return rule of investment tool in theory, the genetic algorithm make the validity of utilize this model in reality. This model and the algorithm have high validity in the empirical study of A-share stock market.
portfolio genetic algorithm value at risk risk adjusted capital return
LI Yun-fei GUO Wei
Department of industry and business management School of management, Xi’an Polytechnic University, Xi’an 710048
国际会议
2009年中国控制与决策会议(2009 Chinese Control and Decision Conference)
广西桂林
英文
3574-3578
2009-06-17（万方平台首次上网日期，不代表论文的发表时间）