Cheng Zhao¹, Shuyi Yang², Chu Qin³, Jie Zhou⁴, Longxiang Chen^5,*

CMC-Computers, Materials & Continua, Vol.75, No.1, pp. 477-491, 2023, DOI:10.32604/cmc.2023.034933

Abstract Rule-based portfolio construction strategies are rising as investment demand grows, and smart beta strategies are becoming a trend among institutional investors. Smart beta strategies have high transparency, low management costs, and better long-term performance, but are at the risk of severe short-term declines due to a lack of Risk Control tools. Although there are some methods to use historical volatility for Risk Control, it is still difficult to adapt to the rapid switch of market styles. How to strengthen the Risk Control management of the portfolio while maintaining the original advantages of smart beta has become a new issue of… More >

Chun’an Liu^1,*, Qian Lei², Huamin Jia³

Intelligent Automation & Soft Computing, Vol.26, No.6, pp. 1477-1492, 2020, DOI:10.32604/iasc.2020.011853

Abstract Portfolio optimization is an effective way to diversify investment risk and optimize asset management. Many multiobjective optimization mathematical models and metaheuristic intelligent algorithms have been proposed to solve portfolio problem under an ideal condition. This paper presents a biobjective portfolio optimization model under the assumption of no short selling. In order to obtain sufficient number of portfolio optimal solutions uniformly distributed on the portfolio efficient Pareto front, a hybrid imperialist competitive evolutionary algorithm which combines a multi-colony levy crossover operator and a simple-colony moving operator with random perturbation is also given. The performance of the given algorithm is verified by… More >