Investment portfolio optimization using evolutionary strategies

A successful investment will be based on two factors, securities analysis and portfolio management. Researches showed that most markets are efficient markets, which means on a well-developed securities exchange, asset prices accurately reflect the trade-off between the relative risk and potential re...

Full description

Saved in:
Bibliographic Details
Main Author: Zou, Menglin
Other Authors: Wang Lipo
Format: Final Year Project
Language:English
Published: 2014
Subjects:
Online Access:http://hdl.handle.net/10356/61571
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Nanyang Technological University
Language: English
Description
Summary:A successful investment will be based on two factors, securities analysis and portfolio management. Researches showed that most markets are efficient markets, which means on a well-developed securities exchange, asset prices accurately reflect the trade-off between the relative risk and potential return associated with the security. Thus, the chance of picking an undervalued securities is relatively low and a properly constructed portfolio with optimal level of expected return and the least possible risk would be more desirable in the current context. In this project, Evolutionary strategies (ES) is for the multi-objective optimization is used for purpose of investment portfolio optimization. The main advantage of the evolution strategy is to allow to handle simultaneously multiple objectives and constraints, and to achieve the good approximation of the complete pareto-optimal set. The simulation was carried out in the MATLAB environment.