Cite this article as:

Grishina N. P., Lucas C. ., Sidorov S. P. Differential evolution algorithm for solving the portfolio optimization problem. Izv. Saratov Univ. (N. S.), Ser. Math. Mech. Inform., 2013, vol. 13, iss. 2, pp. 88-92. DOI: https://doi.org/10.18500/1816-9791-2013-13-2-2-88-92

Language:

Russian

Heading:

Computer Sciences

Differential evolution algorithm for solving the portfolio optimization problem

Authors:

Grishina Nina Pavlovna, Saratov State University 1, Saratov State University, Russia, 410012, Saratov, Astrahanskaya st., 83 , riskinstitute@sgu.ru

Lucas Cormac , Brunel University, United Kingdom, Uxbridge , cormac.lucas@brunel.ac.uk

Sidorov Sergei Petrovich, Saratov State University 1, Saratov State University, Russia, 410012, Saratov, Astrahanskaya st., 83 , SidorovSP@info.sgu.ru

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.

DOI:

https://doi.org/10.18500/1816-9791-2013-13-2-2-88-92

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