Models for portfolio management on enhancing periodic consideration and portfolio selection

Authors

Tak Chung Fu, Hong Kong Institute of Vocational Education (Sha Tin), Vocational Training CouncilFollow
Chak Man Ng, Vocational Training CouncilFollow
Ka Wai Wong
Fu Lai Chung, The Hong Kong Polytechnic University

Document Type

Conference Proceeding

Publication Date

2011

DOI

10.1109/ICNC.2011.6022041

Abstract

This research proposes two new models, Recent Period Importance Model and w-Value Model, for portfolio selection where risk tolerance and periodic parameter are considered as variables. Genetic Algorithm is used to solve the optimization problem for portfolio selection. These two new models will be illustrated by example and compared with the traditional Markowitz Model.

Source Publication

The 7th International Conference on Natural Computation (ICNC), 2011 Jul 26-28, Shanghai, China

Volume Number

1

ISSN

2157-9555

ISBN

9781424499502

First Page

176

Last Page

180

Recommended Citation

Fu, T.,Ng, C.,Wong, K.,& Chung, F. (2011). Models for portfolio management on enhancing periodic consideration and portfolio selection. The 7th International Conference on Natural Computation (ICNC), 2011 Jul 26-28, Shanghai, China, 1, 176-180. http://dx.doi.org/10.1109/ICNC.2011.6022041