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Research on the Portfolio Optimization Model under Quantitative Constraint Based on Genetic Algorithm
School of Finance, Guangdong University of Finance & Economics, Guangzhou, China
- 1 School of Finance, Guangdong University of Finance & Economics, Guangzhou, China
Journal of Mathematical Finance·Volume 06 (2016)·Pages 465–470·Published 16 September 2016·DOI10.4236/jmf.2016.64037
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Abstract
This paper is based on covariance and expected return, building portfolio risk optimization model. Using Genetic Algorithm and Quadratic Programming, three securities portfolio Optimization model is resolved, and we find that Genetic Algorithm having priority for Restraint Conditions is not a linear model.
KeywordsPortfolio Optimization Decision MakingQuadratic ProgrammingGenetic Algorithm
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