Using genetic algorithm to solve a new multi-period stochastic optimization model

Journal of Computational and Applied Mathematics

Volumn 231, Issue 1, 2009, Pages 114-123

  Zhang, Xin Li ^a   Zhang, Ke Cun ^a  

^a XI'AN JIAOTONG UNIVERSITY   (China)

Author keywords

Conditional value at risk; Efficient frontier; Genetic algorithm; Simulated path; Transaction costs

Indexed keywords

ASSET ALLOCATION; ASSET AND LIABILITY MANAGEMENT; BEST PRACTICE; CONDITIONAL VALUE-AT-RISK; EFFICIENT FRONTIER; EXPECTED UTILITY; HYBRID MODEL; LEGAL CONSTRAINT; MULTI-PERIOD; NUMERICAL RESULTS; PORTFOLIO OPTIMIZATION MODELS; RISK MEASURES; SIMULATED PATH; STOCHASTIC OPTIMIZATION MODEL; STOCHASTIC PROGRAMMING MODEL; TRANSACTION COST; TRANSACTION COSTS;

COSTS; FINANCIAL DATA PROCESSING; GENETIC ALGORITHMS; INVESTMENTS; OPTIMIZATION; RANDOM PROCESSES; RISK ASSESSMENT; STOCHASTIC PROGRAMMING; VALUE ENGINEERING;

STOCHASTIC MODELS;

EID: 67349220256     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2009.02.055     Document Type: Article

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