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Asset portfolio optimization using support vector machines and real-coded genetic algorithm

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  • Pankaj Gupta
  • Mukesh Mehlawat
  • Garima Mittal

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  • Pankaj Gupta & Mukesh Mehlawat & Garima Mittal, 2012. "Asset portfolio optimization using support vector machines and real-coded genetic algorithm," Journal of Global Optimization, Springer, vol. 53(2), pages 297-315, June.
    • Handle: RePEc:spr:jglopt:v:53:y:2012:i:2:p:297-315
    DOI: 10.1007/s10898-011-9692-3
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    References listed on IDEAS

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    1. Ehrgott, Matthias & Klamroth, Kathrin & Schwehm, Christian, 2004. "An MCDM approach to portfolio optimization," European Journal of Operational Research, Elsevier, vol. 155(3), pages 752-770, June.
    2. Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), 2008. "Computational Methods in Financial Engineering," Springer Books, Springer, number 978-3-540-77958-2, July.
    3. Fang, Yong & Lai, K.K. & Wang, Shou-Yang, 2006. "Portfolio rebalancing model with transaction costs based on fuzzy decision theory," European Journal of Operational Research, Elsevier, vol. 175(2), pages 879-893, December.
    4. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    5. Arenas Parra, M. & Bilbao Terol, A. & Rodriguez Uria, M. V., 2001. "A fuzzy goal programming approach to portfolio selection," European Journal of Operational Research, Elsevier, vol. 133(2), pages 287-297, January.
    6. Pardalos, Panos M & Sandstrom, Mattias & Zopounidis, Costas, 1994. "On the Use of Optimization Models for Portfolio Selection: A Review and Some Computational Results," Computational Economics, Springer;Society for Computational Economics, vol. 7(4), pages 227-244.
    7. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
    8. Farid AitSahlia & Yuan-Chyuan Sheu & Panos M. Pardalos, 2008. "Optimal Execution of Time-Constrained Portfolio Transactions," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 95-102, Springer.
    9. Tay, Francis E. H. & Cao, Lijuan, 2001. "Application of support vector machines in financial time series forecasting," Omega, Elsevier, vol. 29(4), pages 309-317, August.
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    Cited by:

    1. Gupta, Pankaj & Mittal, Garima & Mehlawat, Mukesh Kumar, 2013. "Expected value multiobjective portfolio rebalancing model with fuzzy parameters," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 190-203.

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