Portfolio Selection by Maximizing Omega Function using Differential Evolution

PEKÁR Juraj, BREZINA Ivan, ČIČKOVÁ Zuzana, REIFF Marian

Department of Operations Research and Econometrics, University of Economics, Bratislava, Slovakia.

DOI: 10.4236/ti.2013.41B012                

Abstract

Paper presents alternative solution seeking approach for portfolio selection problem with Omega function performance measure which allows determining capital allocation over the number of assets. Omega function computability is diffi-cult due to substandard structures and therefore the use of standard techniques seems to be relatively complicated. Dif-ferential evolution from the group of evolutionary algorithms was selected as an alternative computing procedure. Al-ternative approach is analyzed on the Down Jones Industrial Index data. Presented approach enables to determine good real-time solution and the quality of results is comparable with results obtained by professional software.

Keywords

differential evolution, Omega function, problem of portfolio selection

Conflicts of Interest

The authors declare no conflicts of interest.

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