TITLE:
Research on the Portfolio Optimization Model under Quantitative Constraint Based on Genetic Algorithm
AUTHORS:
Shunquan Zhu
KEYWORDS:
Portfolio Optimization Decision Making, Quadratic Programming, Genetic Algorithm
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.6 No.4,
September
16,
2016
ABSTRACT: This paper is based on covariance and expected return, building portfolio risk optimization model. Using Genetic Algorithm and Quadratic Programming, three securities portfolio Optimization model is resolved, and we find that Genetic Algorithm having priority for Restraint Conditions is not a linear model.