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., 2013, Volume 13, Issue 2(2),Pages <nobr>88

This article is cited in 1 paper

Computer science

Differential evolution algorithm for solving the portfolio optimization problem

A. A. Homchenko^a, N. P. Grishina^b, C. Lucas^c, S. P. Sidorov^a

^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

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.

UDC: 519.85+519.712

DOI: 10.18500/1816-9791-2013-13-2-2-88-92