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Izvestiya of Saratov University. Mathematics. Mechanics. Informatics, 2013, Volume 13, Issue 2(2), Pages 88–91
DOI: https://doi.org/10.18500/1816-9791-2013-13-2-2-88-92 (Mi isu419) 		 
This article is cited in 1 scientific paper (total in 1 paper)

Computer science

Differential evolution algorithm for solving the portfolio optimization problem

A. A. Homchenkoa, N. P. Grishinab, C. Lucasc, S. P. Sidorova

a Saratov State University, Russia, 410012, Saratov, Astrahanskaya st., 83
b Saratov State University, Russia, 410012, Saratov, Astrahanskaya st., 83
c Brunel University, Kingston Lane, Uxbridge, London, United Kingdom, UB8 3PH
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DOI: https://doi.org/10.18500/1816-9791-2013-13-2-2-88-92
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.
Key words: heuristic search, portfolio optimization problem, prospect theory.
Bibliographic databases:
Document Type: Article
UDC: 519.85+519.712
Language: Russian
Citation: A. A. Homchenko, N. P. Grishina, C. Lucas, S. P. Sidorov, “Differential evolution algorithm for solving the portfolio optimization problem”, Izv. Saratov Univ. Math. Mech. Inform., 13:2(2) (2013), 88–91
Citation in format AMSBIB
\Bibitem{KhoGriLuc13}
\by A.~A.~Homchenko, N.~P.~Grishina, C.~Lucas, S.~P.~Sidorov
\paper Differential evolution algorithm for solving the portfolio optimization problem
\jour Izv. Saratov Univ. Math. Mech. Inform.
\yr 2013
\vol 13
\issue 2(2)
\pages 88--91
\mathnet{http://mi.mathnet.ru/isu419}
\crossref{https://doi.org/10.18500/1816-9791-2013-13-2-2-88-92}
\elib{https://elibrary.ru/item.asp?id=20518323}
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    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Известия Саратовского университета. Новая серия. Серия Математика. Механика. Информатика
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    Full-text PDF :108
    References:41
     
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