Asset portfolio optimization using support vector machines and real-coded genetic algorithm |
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Authors: | Pankaj Gupta Mukesh Kumar Mehlawat Garima Mittal |
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Affiliation: | 1. Department of Operational Research, University of Delhi, Delhi, India 2. Flat No.-01, Kamayani Kunj, Plot No. 69, Indraprastha Extension, Delhi, 110092, India
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Abstract: | This paper presents an integrated approach for portfolio selection in a multicriteria decision making framework. Firstly, we use Support Vector Machines for classifying financial assets in three pre-defined classes, based on their performance on some key financial criteria. Next, we employ Real-Coded Genetic Algorithm to solve a mathematical model of the multicriteria portfolio selection problem in the respective classes incorporating investor-preferences. |
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