STOCK PORTFOLIO OPTIMIZATION FOR SEVERAL RISK MEASURES WITH A MULTI-OBJECTIVE APPROACH USING DIFFERENTIAL EVOLUTION ALGORITHM

STOCK PORTFOLIO OPTIMIZATION FOR SEVERAL RISK MEASURES WITH A MULTI-OBJECTIVE APPROACH USING DIFFERENTIAL EVOLUTION ALGORITHM

This thesis discusses two different risk measurement models, Mean Variance model and Mean Absolute Deviation model, that are solved using the Differential Evolution algorithm. The constraints used in single objective portfolio optimization problem are Buy-In threshold, Cardinality and Roundlot. Mult...

Full description

Saved in:
Bibliographic Details
Main Author: Muhammad Ridwan, Lalu
Format: Theses
Language:Indonesia
Online Access:https://digilib.itb.ac.id/gdl/view/45147
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Institut Teknologi Bandung
Language: Indonesia
id id-itb.:45147
spelling id-itb.:451472019-11-25T15:22:19ZSTOCK PORTFOLIO OPTIMIZATION FOR SEVERAL RISK MEASURES WITH A MULTI-OBJECTIVE APPROACH USING DIFFERENTIAL EVOLUTION ALGORITHM Muhammad Ridwan, Lalu Indonesia Theses Portfolio optimization, mean variance, mean absolute deviation, differential evolution, single objective, multi objective, weighted sum. INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/45147 This thesis discusses two different risk measurement models, Mean Variance model and Mean Absolute Deviation model, that are solved using the Differential Evolution algorithm. The constraints used in single objective portfolio optimization problem are Buy-In threshold, Cardinality and Roundlot. Multi objective problem with risk measures of Mean Variance and Mean Absolute Deviation solved using weighted sum method on LQ45 and Hangseng stocks index. The results obtained show that the differential evolution algorithm is quite good at solving stock portfolio optimization problems both single objective and multi objective. 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
description This thesis discusses two different risk measurement models, Mean Variance model and Mean Absolute Deviation model, that are solved using the Differential Evolution algorithm. The constraints used in single objective portfolio optimization problem are Buy-In threshold, Cardinality and Roundlot. Multi objective problem with risk measures of Mean Variance and Mean Absolute Deviation solved using weighted sum method on LQ45 and Hangseng stocks index. The results obtained show that the differential evolution algorithm is quite good at solving stock portfolio optimization problems both single objective and multi objective.
format Theses
author Muhammad Ridwan, Lalu
spellingShingle Muhammad Ridwan, Lalu
STOCK PORTFOLIO OPTIMIZATION FOR SEVERAL RISK MEASURES WITH A MULTI-OBJECTIVE APPROACH USING DIFFERENTIAL EVOLUTION ALGORITHM
author_facet Muhammad Ridwan, Lalu
author_sort Muhammad Ridwan, Lalu
title STOCK PORTFOLIO OPTIMIZATION FOR SEVERAL RISK MEASURES WITH A MULTI-OBJECTIVE APPROACH USING DIFFERENTIAL EVOLUTION ALGORITHM
title_short STOCK PORTFOLIO OPTIMIZATION FOR SEVERAL RISK MEASURES WITH A MULTI-OBJECTIVE APPROACH USING DIFFERENTIAL EVOLUTION ALGORITHM
title_full STOCK PORTFOLIO OPTIMIZATION FOR SEVERAL RISK MEASURES WITH A MULTI-OBJECTIVE APPROACH USING DIFFERENTIAL EVOLUTION ALGORITHM
title_fullStr STOCK PORTFOLIO OPTIMIZATION FOR SEVERAL RISK MEASURES WITH A MULTI-OBJECTIVE APPROACH USING DIFFERENTIAL EVOLUTION ALGORITHM
title_full_unstemmed STOCK PORTFOLIO OPTIMIZATION FOR SEVERAL RISK MEASURES WITH A MULTI-OBJECTIVE APPROACH USING DIFFERENTIAL EVOLUTION ALGORITHM
title_sort stock portfolio optimization for several risk measures with a multi-objective approach using differential evolution algorithm
url https://digilib.itb.ac.id/gdl/view/45147
_version_ 1822927022104510464

Similar Items