Asset portfolio optimization using support vector machines and real-coded genetic algorithm

作者：Gupta Pankaj^*; Mehlawat Mukesh Kumar; Mittal Garima

来源：Journal of Global Optimization, 2012, 53(2): 297-315.

DOI：10.1007/s10898-011-9692-3

• Portfolio optimization
• Support vector machines
• Real-coded genetic algorithm
• Multicriteria decision making

This paper presents an integrated approach for portfolio selection in a multicriteria decision making framework. Firstly, we use Support Vector Machines for classifying financial assets in three pre-defined classes, based on their performance on some key financial criteria. Next, we employ Real-Coded Genetic Algorithm to solve a mathematical model of the multicriteria portfolio selection problem in the respective classes incorporating investor-preferences.

• 出版日期2012-6