Izvestiya of Saratov University.

Mathematics. Mechanics. Informatics

ISSN 1816-9791 (Print)
ISSN 2541-9005 (Online)


For citation:

Grishina N. P., Sidorov S. P. Differential evolution algorithm for solving the portfolio optimization problem. Izvestiya of Saratov University. Mathematics. Mechanics. Informatics, 2013, vol. 13, iss. 2, pp. 88-92. DOI: 10.18500/1816-9791-2013-13-2-2-88-92, EDN: RHABMR

This is an open access article distributed under the terms of Creative Commons Attribution 4.0 International License (CC-BY 4.0).
Published online: 
25.05.2013
Full text:
(downloads: 127)
Language: 
Russian
Heading: 
UDC: 
519.85, 519.712
EDN: 
RHABMR

Differential evolution algorithm for solving the portfolio optimization problem

Autors: 
Grishina Nina Pavlovna, Saratov State University
Sidorov Sergei Petrovich, Saratov State University
Abstract: 

 In the paper we develop metaheuristic method based on differential evolution for finding efficient frontier in solving the portfolio optimisation problem for investor with non concave utility function which reflects asymmetric investor attitude to losses and gains. 

References: 
  1. Kahneman D., Tversky A. Prospect theory : an analysis of decision under risk. Econometrica, 1979, vol. 47, pp. 263–291.
  2. Tversky A., Kahneman D. Advances in prospect theory : cumulative representation of uncertainty. J. of Risk and Uncertainty, 1992, vol. 5(4), pp. 297–323.
  3. Storn R., Price K. Differential evolution — a simple and efficient adaptive scheme or global optimization over continuous spaces. J. of Global Optimization, 1997, vol. 11. pp. 341–359.
  4. Price K., Storn R. M., Lampinen J. A. Differential evolution : a practical approach to global optimization. Berlin, Springer, 2005.
Received: 
22.11.2012
Accepted: 
25.04.2013
Published: 
31.05.2013
Short text (in English):
(downloads: 57)