融資を利用したポートフォリオ最適化問題に対する差分進化アルゴリズムの適用

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書誌事項

タイトル別名
  • Application of Differential Evolution Algorithms to Portfolio Optimization Problems using Loan
  • A Study of GP (Genotype-Phenotype) Mapping
  • GP（Genotype-Phenotype）写像に関する一考察

抄録

<p>In this paper, portfolio optimization using loan is formulated as a chance constrained problem in which the money borrowed from a loan is invested in risk assets. Then the chance constrained problem is transformed into a deterministic optimization problem that has an equality constraint. In order to apply conventional Differential Evolution (DE) algorithms to the constrained optimization problem effectively, two types of Genotype-Phenotype (GP) mappings, namely a conventional GP mapping and a newly proposed GP mapping, are compared. As a result of numerical experiments including a two-way analysis of variance (two-way ANOVA), it is shown that the proposed GP mapping outperforms the conventional one because the former enhances the quality of solutions obtained by DE algorithms. By using historical data of assets, an advantage of the investment using loan is also confirmed.</p>

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詳細情報 詳細情報について

  • CRID
    1390009294937755776
  • NII論文ID
    130008141292
  • DOI
    10.11394/tjpnsec.12.26
  • ISSN
    21857385
  • 本文言語コード
    ja
  • データソース種別
    • JaLC
    • CiNii Articles
    • KAKEN
  • 抄録ライセンスフラグ
    使用不可

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