TI  Vol.4 No.1 B , February 2013
Portfolio Selection by Maximizing Omega Function using Differential Evolution
Abstract: Paper presents alternative solution seeking approach for portfolio selection problem with Omega function performance measure which allows determining capital allocation over the number of assets. Omega function computability is diffi-cult due to substandard structures and therefore the use of standard techniques seems to be relatively complicated. Dif-ferential evolution from the group of evolutionary algorithms was selected as an alternative computing procedure. Al-ternative approach is analyzed on the Down Jones Industrial Index data. Presented approach enables to determine good real-time solution and the quality of results is comparable with results obtained by professional software.
Cite this paper: P. Juraj, B. Ivan, Č. Zuzana and R. Marian, "Portfolio Selection by Maximizing Omega Function using Differential Evolution," Technology and Investment, Vol. 4 No. 1, 2013, pp. 73-77. doi: 10.4236/ti.2013.41B012.

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