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Metaheuristic optimization of marginal risk constrained long - short portfolios

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Języki publikacji
EN
Abstrakty
EN
The problem of portfolio optimization with its twin objectives of maximizing expected portfolio return and minimizing portfolio risk renders itself difficult for direct solving using traditional methods when constraints reflective of investor preferences, risk management and market conditions are imposed on the underlying mathematical model. Marginal risk that represents the risk contributed by an asset to the total portfolio risk is an important criterion during portfolio selection and risk management. However, the inclusion of the constraint turns the problem model into a notorious non-convex quadratic constrained quadratic programming problem that seeks acceptable solutions using metaheuristic methods. In this work, two metaheuristic methods, viz., Evolution Strategy with Hall of Fame and Differential Evolution (rand/1/bin) with Hall of Fame have been evolved to solve the complex problem and compare the quality of the solutions obtained. The experimental studies have been undertaken on the Bombay Stock Exchange (BSE200) data set for the period March 1999-March 2009. The efficiency of the portfolios obtained by the two metaheuristic methods have been analyzed using Data Envelopment Analysis.
Twórcy
  • Department of Computer Applications PSG College of Technology, Coimbatore, India
autor
  • Tactical Asset Allocation and Overlay Lombard Odier Darier Hentsch Gestion Paris, FRANCE
Bibliografia
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  • 17. Thomaidis Nikos, Timotheos Angelidis, Vassilios Vassiliadis, Georgios Dounias. Active portfolio management with cardinality constraints: An application of particle swarm optimization, New Computational Methods for Financial Engineering (Spl. Issue), Journal of New Mathematics and Natural Computation, November 09, 5(3), pp. 535-555, DOI No.10.1142/S1793005709001519, 2009.
  • 18. Pai Vijayalakshmi G A , Thierry Michel. Evolutionary optimization of constrained k-means clustered assets for diversification in small portfolios, IEEE Transactions on Evolutionary Computation, 13(3), pp. 1030-1053, 2009.
  • 19. Vijayalakshmi Pai G A and Thierry Michel, Integrated metaheuristic optimization of 130-30 investment strategy based long-short portfolios, Intelligent Systems in Accounting, Finance and Management, 19, 43-74, Blackwell-Wiley, 2012.
  • 20. Vijayalakshmi Pai G A and Thierry Michel, Differential Evolution based Optimization of Evolutionary Risk Budgeted Equity Market Neutral Portfolios, Proc. IEEE World Congress on Computational Intelligence (IEEE WCCI 2012), 2012 IEEE Congress on Evolutionary Computation, pp. 1888-1895, Brisbane, Australia, June 2012.
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  • 22. Vitaliy Feoktistov, Differential Evolution : In search of solutions, Springer, 2006.
Typ dokumentu
Bibliografia
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