摘要翻译:
在这篇文章中,我们扩展了一个演化随机投资组合优化框架,以包含概率约束。基于随机规划的建模环境和进化优化环境都非常适合于集成各种类型的概率约束。我们展示了如何集成这些约束的方法。利用最近的金融数据进行的数值计算结果证实了该方法的适用性。
---
英文标题:
《A note on evolutionary stochastic portfolio optimization and
probabilistic constraints》
---
作者:
Ronald Hochreiter
---
最新提交年份:
2010
---
分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Portfolio Management 项目组合管理
分类描述:Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--
一级分类:Computer Science 计算机科学
二级分类:Computational Engineering, Finance, and Science 计算工程、金融和科学
分类描述:Covers applications of computer science to the mathematical modeling of complex systems in the fields of science, engineering, and finance. Papers here are interdisciplinary and applications-oriented, focusing on techniques and tools that enable challenging computational simulations to be performed, for which the use of supercomputers or distributed computing platforms is often required. Includes material in ACM Subject Classes J.2, J.3, and J.4 (economics).
涵盖了计算机科学在科学、工程和金融领域复杂系统的数学建模中的应用。这里的论文是跨学科和面向应用的,集中在技术和工具,使挑战性的计算模拟能够执行,其中往往需要使用超级计算机或分布式计算平台。包括ACM学科课程J.2、J.3和J.4(经济学)中的材料。
--
一级分类:Computer Science 计算机科学
二级分类:Neural and Evolutionary Computing 神经与进化计算
分类描述:Covers neural networks, connectionism, genetic algorithms, artificial life, adaptive behavior. Roughly includes some material in ACM Subject Class C.1.3, I.2.6, I.5.
涵盖神经网络,连接主义,遗传算法,人工生命,自适应行为。大致包括ACM学科类C.1.3、I.2.6、I.5中的一些材料。
--
---
英文摘要:
In this note, we extend an evolutionary stochastic portfolio optimization framework to include probabilistic constraints. Both the stochastic programming-based modeling environment as well as the evolutionary optimization environment are ideally suited for an integration of various types of probabilistic constraints. We show an approach on how to integrate these constraints. Numerical results using recent financial data substantiate the applicability of the presented approach.
---
PDF链接:
https://arxiv.org/pdf/1001.5421