The stock portfolios simulated annealing genetic algorithm based on RAROC

  • Authors:

  • Yun-Fei Li;Wei Guo

  • Affiliations:

  • Department of industry and business management, School of management, Xi'an Polytechnic University, Xi'an;Department of industry and business management, School of management, Xi'an Polytechnic University, Xi'an

  • Venue:
  • CCDC'09 Proceedings of the 21st annual international conference on Chinese control and decision conference
  • Year:
  • 2009

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Abstract

Within the mean-variance model of Markowitz portfolio framework, we propose a betterment portfolio optimize model, the optimize model take the risk value as the tools of risk measurement and use the risk adjustment return as the optimization function, at the same time solve portfolio by simulated annealing genetic algorithm and validate the model's validity in reality by empirical study. The model accord with the risk return rule of investment tool in theory, the genetic algorithm make the validity of utilize this model in reality. This model and the algorithm have high validity in the empirical study of A-share stock market.