Multi-period semi-variance portfolio selection: Model and numerical solution

作者：Yan Wei^*; Miao Rong; Li Shurong

来源：Applied Mathematics and Computation, 2007, 194(1): 128-134.

DOI：10.1016/j.amc.2007.04.036

• semi-variance
• multi-period portfolio selection
• efficient frontier
• PSO algorithm

Variance is substituted by semi-variance in Markowitz's portfolio selection model. Moreover, one period portfolio selection is extended to multi-period. In this paper, a class of multi-period semi-variance model is formulated originally. Besides, a hybrid genetic algorithm (GA), which makes use of the position displacement strategy of the particle swarm optimizer (PSO) as a mutation operation, is applied to solve the multi-period semi-variance model. For this class of portfolio model, numerical results show that the hybrid GA with PSO is effective and feasible.

• 出版日期2007-12-1
• 单位中国石油大学（北京）