Portfolio Research Based on Differential Evolution Method

DOI

10.2991/cimns-18.2018.49How to use a DOI?

Keywords

portfolio optimization; prospect theory model; differential evolution algorithm

Abstract

Portfolio optimization refers to the fact that investors allocate funds to certain kinds of assets, so that the investment amount of each type of assets accounts for a certain proportion of the total investment. The purpose is to make the overall income of the assets held by investors as high as possible, or make the investment risk as low as possible. With the deepening of people's research, the theory of portfolio optimization has been gradually applied into a more successful and more mature theory. This paper intends to use the basic prospect theory model, using Matlab software, based on the differential evolution algorithm, to optimize the real economic market data of 10 assets.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yulian Fan
AU  - Yang Xu
AU  - Mengying Chang
PY  - 2018/11
DA  - 2018/11
TI  - Portfolio Research Based on Differential Evolution Method
BT  - Proceedings of the 2018 3rd International Conference on Communications, Information Management and Network Security (CIMNS 2018)
PB  - Atlantis Press
SP  - 217
EP  - 219
SN  - 2352-538X
UR  - https://doi.org/10.2991/cimns-18.2018.49
DO  - 10.2991/cimns-18.2018.49
ID  - Fan2018/11
ER  -