Computer Simulation Based on Genetic Algorithm for Solving Portfolio Problem with VaR Constraint
Yuan Yuan · Journal of Jianghan University · 2005
On the basis of Markowitz portfolio investment model,widely used risk tool VaR in investment field is applied to establish a model with one objective function of profit covariance and multi-constraint of VaR and profit rate.Under the hypothesis of normal distribution,the model non-linear constraint isdeeply simplified.Then aiming atthis model,genetic algorithm is designed for solving it.The optimum solution in the simulation about this portfolio model is given with algo-rithm.Its result is good not only in fitting in the VaR limitation but also catering for different inves-tors with different profit needs.