文章基本信息

标题：Asset management using an extended Markowitz theorem
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作者：Reza Raei ; Paria Karimi
期刊名称：Management Science Letters
印刷版ISSN：1923-9335
电子版ISSN：1923-9343
出版年度：2014
卷号：4
期号：6
页码：1309-1314
DOI：10.5267/j.msl.2014.4.011
出版社：Growing Science
摘要：Markowitz theorem is one of the most popular techniques for asset management. The method has been widely used to solve many applications, successfully. In this paper, we present a multi objective Markowitz model to determine asset allocation by considering cardinality constraints. The resulted model is an NP-Hard problem and the proposed study uses two metaheuristics, namely genetic algorithm (GA) and particle swarm optimization (PSO) to find efficient solutions. The proposed study has been applied on some data collected from Tehran Stock Exchange over the period 2009-2011. The study considers four objectives including cash return, 12-month return, 36-month return and Lower Partial Moment (LPM). The results indicate that there was no statistical difference between the implementation of PSO and GA methods.
关键词：Markowitz Theorem; Tehran Stock Exchange; Genetic algorithm; Particle Swarm optimization