Portfolio optimization problems in different risk measures using genetic algorithm

2009 ◽  
Vol 36 (7) ◽  
pp. 10529-10537 ◽  
Author(s):  
Tun-Jen Chang ◽  
Sang-Chin Yang ◽  
Kuang-Jung Chang
Keyword(s):  
Genetic Algorithm ◽  
Portfolio Optimization ◽  
Optimization Problems ◽  
Risk Measures

The Genetic Algorithm

2019 ◽  
pp. 154-178
Author(s):  
Burcu Adıguzel Mercangöz ◽  
Ergun Eroglu
Keyword(s):  
Genetic Algorithm ◽  
Mathematical Models ◽  
Portfolio Optimization ◽  
Optimization Problem ◽  
Optimization Problems ◽  
Biological Evolution ◽  
Research Field ◽  
Risk Level ◽  
Important Research ◽  
Portfolio Optimization Problem

The portfolio optimization is an important research field of the financial sciences. In portfolio optimization problems, it is aimed to create portfolios by giving the best return at a certain risk level from the asset pool or by selecting assets that give the lowest risk at a certain level of return. The diversity of the portfolio gives opportunity to increase the return by minimizing the risk. As a powerful alternative to the mathematical models, heuristics is used widely to solve the portfolio optimization problems. The genetic algorithm (GA) is a technique that is inspired by the biological evolution. While this book considers the heuristics methods for the portfolio optimization problems, this chapter will give the implementing steps of the GA clearly and apply this method to a portfolio optimization problem in a basic example.

scholarly journals RM-CVaR: Regularized Multiple β-CVaR Portfolio

2020 ◽  
Author(s):  
Kei Nakagawa ◽  
Shuhei Noma ◽  
Masaya Abe
Keyword(s):  
Portfolio Optimization ◽  
Value At Risk ◽  
Optimization Problems ◽  
Risk Measures ◽  
Risk Measure ◽  
Superior Performance ◽  
Conditional Value At Risk ◽  
Related Risk ◽  
Mean And Variance ◽  
Portfolio Optimization Problem

The problem of finding the optimal portfolio for investors is called the portfolio optimization problem. Such problem mainly concerns the expectation and variability of return (i.e., mean and variance). Although the variance would be the most fundamental risk measure to be minimized, it has several drawbacks. Conditional Value-at-Risk (CVaR) is a relatively new risk measure that addresses some of the shortcomings of well-known variance-related risk measures, and because of its computational efficiencies, it has gained popularity. CVaR is defined as the expected value of the loss that occurs beyond a certain probability level (β). However, portfolio optimization problems that use CVaR as a risk measure are formulated with a single β and may output significantly different portfolios depending on how the β is selected. We confirm even small changes in β can result in huge changes in the whole portfolio structure. In order to improve this problem, we propose RM-CVaR: Regularized Multiple β-CVaR Portfolio. We perform experiments on well-known benchmarks to evaluate the proposed portfolio. Compared with various portfolios, RM-CVaR demonstrates a superior performance of having both higher risk-adjusted returns and lower maximum drawdown.

scholarly journals Scenario aggregation method for portfolio expectile optimization

2016 ◽  
Vol 33 (1-2) ◽  
Author(s):  
Edgars Jakobsons
Keyword(s):  
Portfolio Optimization ◽  
Value At Risk ◽  
Optimization Problem ◽  
Optimization Problems ◽  
Risk Measures ◽  
Risk Measure ◽  
Conditional Value At Risk ◽  
Aggregation Method ◽  
Portfolio Optimization Problem ◽  
Scenario Aggregation

AbstractThe statistical functional expectile has recently attracted the attention of researchers in the area of risk management, because it is the only risk measure that is both coherent and elicitable. In this article, we consider the portfolio optimization problem with an expectile objective. Portfolio optimization problems corresponding to other risk measures are often solved by formulating a linear program (LP) that is based on a sample of asset returns. We derive three different LP formulations for the portfolio expectile optimization problem, which can be considered as counterparts to the LP formulations for the Conditional Value-at-Risk (CVaR) objective in the works of Rockafellar and Uryasev [

The Genetic Algorithm

2021 ◽  
pp. 790-810
Author(s):  
Burcu Adıguzel Mercangöz ◽  
Ergun Eroglu
Keyword(s):  
Genetic Algorithm ◽  
Mathematical Models ◽  
Portfolio Optimization ◽  
Optimization Problem ◽  
Optimization Problems ◽  
Biological Evolution ◽  
Research Field ◽  
Risk Level ◽  
Important Research ◽  
Portfolio Optimization Problem

The portfolio optimization is an important research field of the financial sciences. In portfolio optimization problems, it is aimed to create portfolios by giving the best return at a certain risk level from the asset pool or by selecting assets that give the lowest risk at a certain level of return. The diversity of the portfolio gives opportunity to increase the return by minimizing the risk. As a powerful alternative to the mathematical models, heuristics is used widely to solve the portfolio optimization problems. The genetic algorithm (GA) is a technique that is inspired by the biological evolution. While this book considers the heuristics methods for the portfolio optimization problems, this chapter will give the implementing steps of the GA clearly and apply this method to a portfolio optimization problem in a basic example.

scholarly journals A Firefly Algorithm for Portfolio Optimization

2019 ◽  
Vol 25 (3) ◽  
pp. 282-291
Author(s):  
Indana Lazulfa
Keyword(s):  
Financial Markets ◽  
Portfolio Optimization ◽  
Firefly Algorithm ◽  
Optimization Problems ◽  
Risk Measures ◽  
Variance Model ◽  
Multi Objective ◽  
Risk Return ◽  
Portfolio Optimization Model ◽  
Mean Variance

Portfolio optimization is the process of allocating capital among a universe of assets to achieve better risk – return trade-off. Portfolio optimization is a solution for investors to get the return as large as possible and make the risk as small as possible. Due to the dynamic nature of financial markets, the portfolio needs to be rebalanced to retain the desired risk-return characteristics. This study proposed multi objective portfolio optimization model with risk, return as the objective function. For multi objective portfolio optimization problems will be used mean-variance model as risk measures. All these portfolio optimization problems will be solved by Firefly Algorithm (FA).

Long–short portfolio optimization in the presence of discrete asset choice constraints and two risk measures

2010 ◽  
Vol 13 (2) ◽  
pp. 71-100 ◽  
Author(s):  
Ritesh Kumar ◽  
Gautam Mitra ◽  
Diana Roman
Keyword(s):  
Portfolio Optimization ◽  
Risk Measures

Enterprise distribution routing optimization with soft time windows based on genetic algorithm

2021 ◽  
pp. 1-11
Author(s):  
Kaixian Gao ◽  
Guohua Yang ◽  
Xiaobo Sun
Keyword(s):  
Genetic Algorithm ◽  
Customer Satisfaction ◽  
Optimization Problems ◽  
Rapid Development ◽  
Time Windows ◽  
Theory And Practice ◽  
Routing Problem ◽  
Logistics Industry ◽  
Routing Optimization ◽  
A Company

With the rapid development of the logistics industry, the demand of customer become higher and higher. The timeliness of distribution becomes one of the important factors that directly affect the profit and customer satisfaction of the enterprise. If the distribution route is planned rationally, the cost can be greatly reduced and the customer satisfaction can be improved. Aiming at the routing problem of A company’s vehicle distribution link, we establish mathematical models based on theory and practice. According to the characteristics of the model, genetic algorithm is selected as the algorithm of path optimization. At the same time, we simulate the actual situation of a company, and use genetic algorithm to plan the calculus. By contrast, the genetic algorithm suitable for solving complex optimization problems, the practicability of genetic algorithm in this design is highlighted. It solves the problem of unreasonable transportation of A company, so as to get faster efficiency and lower cost.

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