Proceedings of the International Conference on Logistics, Engineering, Management and Computer Science

The Solution of Single Index Portfolio Selection Model with Transaction Cost by Genetic Algorithm

Authors
Xinling Feng, Cuiqing Zhu, Sheng He
Corresponding Author
Xinling Feng
Available Online July 2015.
DOI
10.2991/lemcs-15.2015.191How to use a DOI?
Keywords
Investment Portfolio; Transaction Cost; Single Index Model; Genetic Algorithm
Abstract

The key to the portfolio optimization problem is to achieve effective income risk allocation. Using single index model brings forward portfolio model with transaction costs and reduces the calculation of the investment portfolio covariance matrix. At the same time, use genetic algorithm to solve objective function and combine actual data to make simulation experiment. It is turned out that genetic algorithm can be used to better solve the model and the results reflect the rationality of the model.

Copyright
© 2015, 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/).

Download article (PDF)

Volume Title
Proceedings of the International Conference on Logistics, Engineering, Management and Computer Science
Series
Advances in Intelligent Systems Research
Publication Date
July 2015
ISBN
10.2991/lemcs-15.2015.191
ISSN
1951-6851
DOI
10.2991/lemcs-15.2015.191How to use a DOI?
Copyright
© 2015, 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  - Xinling Feng
AU  - Cuiqing Zhu
AU  - Sheng He
PY  - 2015/07
DA  - 2015/07
TI  - The Solution of Single Index Portfolio Selection Model with Transaction Cost by Genetic Algorithm
BT  - Proceedings of the International Conference on Logistics, Engineering, Management and Computer Science
PB  - Atlantis Press
SP  - 967
EP  - 971
SN  - 1951-6851
UR  - https://doi.org/10.2991/lemcs-15.2015.191
DO  - 10.2991/lemcs-15.2015.191
ID  - Feng2015/07
ER  -