IEEE - Institute of Electrical and Electronics Engineers, Inc. - The stock portfolios simulated annealing genetic algorithm based on RAROC

2009 Chinese Control and Decision Conference (CCDC)

Author(s): Li Yun-fei ; Guo Wei
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 June 2009
Conference Location: Guilin, China, China
Conference Date: 17 June 2009
Page(s): 3,574 - 3,578
ISBN (CD): 978-1-4244-2723-9
ISBN (Paper): 978-1-4244-2722-2
DOI: 10.1109/CCDC.2009.5192638
Regular:

Within the mean-variance model of Markowitz portfolio framework, we propose a betterment portfolio optimize model, the optimize model take the risk value as the tools of risk measurement and use... View More

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