Proceedings of the 2018 3rd International Conference on Communications, Information Management and Network Security (CIMNS 2018)

Portfolio Research Based on Differential Evolution Method

Authors
Yulian Fan, Yang Xu, Mengying Chang
Corresponding Author
Yang Xu
Available Online November 2018.
DOI
10.2991/cimns-18.2018.49How to use a DOI?
Keywords
portfolio optimization; prospect theory model; differential evolution algorithm
Abstract

Portfolio optimization refers to the fact that investors allocate funds to certain kinds of assets, so that the investment amount of each type of assets accounts for a certain proportion of the total investment. The purpose is to make the overall income of the assets held by investors as high as possible, or make the investment risk as low as possible. With the deepening of people's research, the theory of portfolio optimization has been gradually applied into a more successful and more mature theory. This paper intends to use the basic prospect theory model, using Matlab software, based on the differential evolution algorithm, to optimize the real economic market data of 10 assets.

Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2018 3rd International Conference on Communications, Information Management and Network Security (CIMNS 2018)
Series
Advances in Computer Science Research
Publication Date
November 2018
ISBN
978-94-6252-620-4
ISSN
2352-538X
DOI
10.2991/cimns-18.2018.49How to use a DOI?
Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Yulian Fan
AU  - Yang Xu
AU  - Mengying Chang
PY  - 2018/11
DA  - 2018/11
TI  - Portfolio Research Based on Differential Evolution Method
BT  - Proceedings of the 2018 3rd International Conference on Communications, Information Management and Network Security (CIMNS 2018)
PB  - Atlantis Press
SP  - 217
EP  - 219
SN  - 2352-538X
UR  - https://doi.org/10.2991/cimns-18.2018.49
DO  - 10.2991/cimns-18.2018.49
ID  - Fan2018/11
ER  -