Home  Journals  Finance and Credit  18(450) - 2011 May

Method of calculation of optimum portfolios with global and local restrictions on size of risk on the basis of genetic algorithms

Available online: 6 May 2011

Subject Heading: Stock market

JEL Classification: 

It is used genetic algorithm for construction of weights of a synthetic portfolio of components with optimum rate of growth of the capital at the given restriction on variability a portfolio, ЕVAR and time between rebalancing a portfolio.

Keywords: securities portfolio, reinvestment, risk measures, expected shortfall, genetic algorithm

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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