Name
Title | ||
|---|---|---|
Models for portfolio management on enhancing periodic consideration and portfolio selection |
Abstract | ||
|---|---|---|
This research proposes two new models, Recent Period Importance Model and w-Value Model, for portfolio selection where risk tolerance and periodic parameter are considered as variables. Genetic Algorithm is used to solve the optimization problem for portfolio selection. These two new models will be illustrated by example and compared with the traditional Markowitz Model. |
Year | DOI | Venue |
|---|---|---|
2011 | 10.1109/ICNC.2011.6022041 | ICNC |
Keywords | Field | DocType |
w-value model,portfolio selection,markowitz model,risk tolerance,period importance model,optimization problem,genetic algorithm,genetic algorithms,investment,portfolio management,periodic parameter,data models,mathematical model,computer model,data model,accuracy,computational modeling,investments | Mathematical optimization,Computer science,Project portfolio management,Portfolio,Post-modern portfolio theory,Portfolio optimization,Black–Litterman model,Optimization problem,Genetic algorithm,Merton's portfolio problem | Conference |
Volume | ISSN | ISBN |
1 | 2157-9555 | 978-1-4244-9950-2 |
Citations | PageRank | References |
0 | 0.34 | 1 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Tak-chung Fu | 1 | 407 | 21.29 |
| Chak-man Ng | 2 | 116 | 9.33 |
| Ka-wai Wong | 3 | 1 | 1.16 |
| Korris Fu-lai Chung | 4 | 131 | 10.51 |