TITLE:
Portfolio Selection by Maximizing Omega Function using Differential Evolution
AUTHORS:
PEKÁR Juraj, BREZINA Ivan, ČIČKOVÁ Zuzana, REIFF Marian
KEYWORDS:
differential evolution, Omega function, problem of portfolio selection
JOURNAL NAME:
Technology and Investment,
Vol.4 No.1B,
January
17,
2013
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.