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Portfolio Selection by Maximizing Omega Function using Differential Evolution
Department of Operations Research and Econometrics, University of Economics, Bratislava, Slovakia
Department of Operations Research and Econometrics, University of Economics, Bratislava, Slovakia
Department of Operations Research and Econometrics, University of Economics, Bratislava, Slovakia
Department of Operations Research and Econometrics, University of Economics, Bratislava, Slovakia
- 1 Department of Operations Research and Econometrics, University of Economics, Bratislava, Slovakia
- 2 Department of Operations Research and Econometrics, University of Economics, Bratislava, Slovakia
- 3 Department of Operations Research and Econometrics, University of Economics, Bratislava, Slovakia
- 4 Department of Operations Research and Econometrics, University of Economics, Bratislava, Slovakia
Technology and Investment·Volume 04 (2013)·Pages 73–77·Published 16 January 2013·DOI10.4236/ti.2013.41B012
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Abstract
Paper presents alternative solution seeking approach for portfolio selection problem with Omega function performance measure which allows determining capital allocation over the number of assets. Omega function computability is diffi-cult due to substandard structures and therefore the use of standard techniques seems to be relatively complicated. Dif-ferential evolution from the group of evolutionary algorithms was selected as an alternative computing procedure. Al-ternative approach is analyzed on the Down Jones Industrial Index data. Presented approach enables to determine good real-time solution and the quality of results is comparable with results obtained by professional software.
Keywordsdifferential evolutionOmega functionproblem of portfolio selection
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