Asset portfolio optimization using support vector machines and real-coded genetic algorithm

作     者：Gupta, Pankaj Mehlawat, Mukesh Kumar Mittal, Garima 

作者机构：Univ Delhi Dept Operat Res Delhi 110007 India 

出 版 物：《JOURNAL OF GLOBAL OPTIMIZATION》 (全局最优化杂志)

年 卷 期：2012年第53卷第2期

页      面：297-315页

核心收录：

学科分类：1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070104[理学-应用数学] 0701[理学-数学] 

主　　题：Portfolio optimization Support vector machines Real-coded genetic algorithm Multicriteria decision making 

摘      要：This paper presents an integrated approach for portfolio selection in a multicriteria decision making framework. Firstly, we use Support Vector Machines for classifying financial assets in three pre-defined classes, based on their performance on some key financial criteria. Next, we employ Real-Coded Genetic Algorithm to solve a mathematical model of the multicriteria portfolio selection problem in the respective classes incorporating investor-preferences.