SINGLE OBJECTIVE AND BIOBJECTIVE PORTFOLIO OPTIMIZATION WITH MEAN VARIANCE AS RISK MEASURE USING DIFFERENTIAL EVOLUTION ALGORITHM

Portfolio optimization is an activity to balance between return and risk. In this thesis we concern with mean variance as risk measure for portfolio optimization. For single objective portfolio optimization problem, minimizing risk of portfolio will be used several constraints such as buy in thresho...

Full description

Saved in:

Bibliographic Details
Main Author:	Ndapa Deda, Yohanis
Format:	Theses
Language:	Indonesia
Subjects:	Matematika
Online Access:	https://digilib.itb.ac.id/gdl/view/33759
Tags:	Add Tag No Tags, Be the first to tag this record!
Institution:	Institut Teknologi Bandung
Language:	Indonesia

id	id-itb.:33759
spelling	id-itb.:337592019-01-29T10:58:02ZSINGLE OBJECTIVE AND BIOBJECTIVE PORTFOLIO OPTIMIZATION WITH MEAN VARIANCE AS RISK MEASURE USING DIFFERENTIAL EVOLUTION ALGORITHM Ndapa Deda, Yohanis Matematika Indonesia Theses Portfolio optimizations, mean variance, single objective, biobjective, buy in threshold, cardinality constraint, roundlot, differential evolution algorithm. INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/33759 Portfolio optimization is an activity to balance between return and risk. In this thesis we concern with mean variance as risk measure for portfolio optimization. For single objective portfolio optimization problem, minimizing risk of portfolio will be used several constraints such as buy in threshold, cardinality, and roundlot. Especially for single objective will be compared between cardinality constraint and roundlot constraint in order to see which one is better. The other is biobjective portfolio optimization problem will also use mean variance model as risk measure. All these portfolio optimization problems will be solved by differential evolution algorithm. text
institution	Institut Teknologi Bandung
building	Institut Teknologi Bandung Library
continent	Asia
country	Indonesia Indonesia
content_provider	Institut Teknologi Bandung
collection	Digital ITB
language	Indonesia
topic	Matematika
spellingShingle	Matematika Ndapa Deda, Yohanis SINGLE OBJECTIVE AND BIOBJECTIVE PORTFOLIO OPTIMIZATION WITH MEAN VARIANCE AS RISK MEASURE USING DIFFERENTIAL EVOLUTION ALGORITHM
description	Portfolio optimization is an activity to balance between return and risk. In this thesis we concern with mean variance as risk measure for portfolio optimization. For single objective portfolio optimization problem, minimizing risk of portfolio will be used several constraints such as buy in threshold, cardinality, and roundlot. Especially for single objective will be compared between cardinality constraint and roundlot constraint in order to see which one is better. The other is biobjective portfolio optimization problem will also use mean variance model as risk measure. All these portfolio optimization problems will be solved by differential evolution algorithm.
format	Theses
author	Ndapa Deda, Yohanis
author_facet	Ndapa Deda, Yohanis
author_sort	Ndapa Deda, Yohanis
title	SINGLE OBJECTIVE AND BIOBJECTIVE PORTFOLIO OPTIMIZATION WITH MEAN VARIANCE AS RISK MEASURE USING DIFFERENTIAL EVOLUTION ALGORITHM
title_short	SINGLE OBJECTIVE AND BIOBJECTIVE PORTFOLIO OPTIMIZATION WITH MEAN VARIANCE AS RISK MEASURE USING DIFFERENTIAL EVOLUTION ALGORITHM
title_full	SINGLE OBJECTIVE AND BIOBJECTIVE PORTFOLIO OPTIMIZATION WITH MEAN VARIANCE AS RISK MEASURE USING DIFFERENTIAL EVOLUTION ALGORITHM
title_fullStr	SINGLE OBJECTIVE AND BIOBJECTIVE PORTFOLIO OPTIMIZATION WITH MEAN VARIANCE AS RISK MEASURE USING DIFFERENTIAL EVOLUTION ALGORITHM
title_full_unstemmed	SINGLE OBJECTIVE AND BIOBJECTIVE PORTFOLIO OPTIMIZATION WITH MEAN VARIANCE AS RISK MEASURE USING DIFFERENTIAL EVOLUTION ALGORITHM
title_sort	single objective and biobjective portfolio optimization with mean variance as risk measure using differential evolution algorithm
url	https://digilib.itb.ac.id/gdl/view/33759
_version_	1821996589795770368

SINGLE OBJECTIVE AND BIOBJECTIVE PORTFOLIO OPTIMIZATION WITH MEAN VARIANCE AS RISK MEASURE USING DIFFERENTIAL EVOLUTION ALGORITHM

Similar Items