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A Convex-Risk-Measure Based Model and Genetic Algorithm for Portfolio Selection

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  • Weijia Wang
  • Jie Hu
  • Ning Dong

Abstract

A convex risk measure called weighted expected shortfall (briefly denoted as WES (Chen and Yang, 2011)) is adopted as the risk measure. This measure can reflect the reasonable risk in the stock markets. Then a portfolio optimization model based on this risk measure is set up. Furthermore, a genetic algorithm is proposed for this portfolio optimization model. At last, simulations are made on randomly chosen ten stocks for 60 days (during January 2, 2014 to April 2, 2014) from Wind database (CFD) in Shenzhen Stock Exchange, and the results indicate that the proposed model is reasonable and the proposed algorithm is effective.

Suggested Citation

  • Weijia Wang & Jie Hu & Ning Dong, 2015. "A Convex-Risk-Measure Based Model and Genetic Algorithm for Portfolio Selection," Mathematical Problems in Engineering, Hindawi, vol. 2015, pages 1-8, April.
    • Handle: RePEc:hin:jnlmpe:451627
    DOI: 10.1155/2015/451627
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