The Solution of Single Index Portfolio Selection Model with Transaction Cost by Genetic Algorithm
Xinling Feng, Cuiqing Zhu, Sheng He
Available Online July 2015.
- https://doi.org/10.2991/lemcs-15.2015.191How to use a DOI?
- Investment Portfolio; Transaction Cost; Single Index Model; Genetic Algorithm
- 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.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
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 - International Conference on Logistics Engineering, Management and Computer Science (LEMCS 2015) PB - Atlantis Press SP - 967 EP - 971 SN - 1951-6851 UR - https://doi.org/10.2991/lemcs-15.2015.191 DO - https://doi.org/10.2991/lemcs-15.2015.191 ID - Feng2015/07 ER -