Solving Portfolio Selection with Probability Criterion under Investor's Preference
Ma Liang · Yunchou yu guanli · 2013
Portfolio selection with probability criterion under investor's preference is the deepening of portfolio selection.It is an optimization mathematic model with the objective function based on probability criterion and investor's preference under the condition of non-negative constrains.A gravitational search algorithm is designed to solve this model.The mass and position correspond to the objective function and investment proportional coefficient,respectively.The implementation of this method is given based on velocity and position update equations Experimental results and comparison experiments show the effectiveness and feasibility of proposed algorithm.