Using Mean-Variance Model and Genetic Algorithm to Find the Optimized Weights of Portfolio of Funds - Brossura

Lai, David

 
9783836492973: Using Mean-Variance Model and Genetic Algorithm to Find the Optimized Weights of Portfolio of Funds
Brossura
ISBN 10: 3836492970 ISBN 13: 9783836492973
Casa editrice: Vdm Verlag Dr Mueller E K, 2008

Sinossi

This study investigates the performance of the weight optimization by comparing the performance of the portfolios of fund of funds (FoF) constructed by the Markowitz Mean-Variance (MV) model or Genetic Algorithm (GA) to that of S&P 500 and that of equal weight portfolio of Mutual funds. The chosen target funds are denominated in U.S. dollar or euros, and are chosen from the European market, United European market, Emerging market, Pacific market, South Asia market, Asia Pacific Zone market, American market, and Global market. The study period started on February 1, 1998 and ended on December 1, 2006. The Markowitz Mean-Variance model is a famous investment theory in portfolio selection problems. But Markowitz Mean-Variance model requires the assumption that the securities must follow the normal distribution. On the contrary, Genetic Algorithm is a methodology with artificial intelligence that is free of the assumption of normal distribution, and it can also be applied to the portfolio selection and optimization problems. In this thesis, we test whether the Genetic Algorithm can beat the traditional Markowitz Mean-Variance model or not.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Editore
Vdm Verlag Dr Mueller E K
Data di pubblicazione
2008
Lingua
Inglese
ISBN 10 
3836492970
ISBN 13 
9783836492973
Rilegatura
Copertina flessibile
Numero di pagine
72
Contatto del produttore
non disponibile
Persona responsabile
non disponibile