Luo, Yong Zhu, Bo Tang, Yong 2014-08-15 We investigate the problem of dynamic optimal capital growth of a portfolio. A general framework that one strives to maximize the expected logarithm utility of long term growth rate was developed. Exact optimization algorithms run into difficulties in this framework and this motivates the investigation of applying simulated annealing optimized algorithm to optimize the capital growth of a given portfolio. Empirical results with real financial data indicate that the approach is inspiring for capital growth portfolio. application/pdf https://folia.unifr.ch/global/documents/303718 https://folia.unifr.ch/documents/303718/files/tan_saa.pdf eng info:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2014.04.020 info:eu-repo/semantics/openAccess License undefined Physica A: Statistical Mechanics and its Applications. - 2014, vol. 408, p. 10–18 capital growth asset allocation portfolio optimization simulate annealing info:eu-repo/classification/udc/53 Simulated annealing algorithm for optimal capital growth http://purl.org/coar/resource_type/c_6501