Multi-Attribute Portfolio Selection with Genetic Optimization Algorithms

doi:10.3138/infor.47.1.23

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	Multi-Attribute Portfolio Selection with Genetic Optimization Algorithms
	Yu, Lean 1; Wang, Shouyang1 ; Lai, Kin Keung 2
	2009-02-01
发表期刊	INFOR
ISSN	0315-5986
卷号	47 期号:1 页码:23-30
摘要	The traditional portfolio theory first proposed by Markowitz only provides a solution to capital allocation to a pre-determined set of assets, regardless of asset quality. To remedy this gap, a multi-attribute asset quality analysis, before asset allocation, is proposed. Thus a two-stage multi-attribute portfolio selection framework that considers asset quality, as well as asset allocation, is formulated. For solving the proposed portfolio selection problem, this study applies genetic algorithms for multi-attribute portfolio selection and analysis. In the first stage, i.e. asset quality evaluation, a genetic algorithm is used to identify good quality assets in terms of asset ranking. In the asset allocation stage, allocation of capital to individual high-quality assets is optimized using another genetic algorithm based on Markowitz's mean-variance theory. Through the two-stage asset evaluation and allocation process, an optimal portfolio can be determined in the context of considering both multiple asset return attributes and risk exposures. Experimental results reveal that the proposed multi-attribute portfolio selection framework provides a very feasible and useful tool to assist investors in planning their investment strategy and constructing their portfolios.
关键词	Multi-attribute portfolio selection asset quality evaluation asset allocation mean-variance model genetic algorithm
DOI	10.3138/infor.47.1.23
语种	英语
资助项目	National Natural Science Foundation of China[70221001] ; National Natural Science Foundation of China[70601029] ; Chinese Academy of Sciences ; NSFC/RGC Joint Research Scheme[N_CityU110/07]
WOS研究方向	Computer Science ; Operations Research & Management Science
WOS类目	Computer Science, Information Systems ; Operations Research & Management Science
WOS记录号	WOS:000273773300004
出版者	UNIV TORONTO PRESS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/7069
专题	系统科学研究所
通讯作者	Yu, Lean
作者单位	1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Yu, Lean,Wang, Shouyang,Lai, Kin Keung. Multi-Attribute Portfolio Selection with Genetic Optimization Algorithms[J]. INFOR,2009,47(1):23-30.
APA	Yu, Lean,Wang, Shouyang,&Lai, Kin Keung.(2009).Multi-Attribute Portfolio Selection with Genetic Optimization Algorithms.INFOR,47(1),23-30.
MLA	Yu, Lean,et al."Multi-Attribute Portfolio Selection with Genetic Optimization Algorithms".INFOR 47.1(2009):23-30.