Simulated annealing algorithm for optimal capital growth
- Luo, Yong School of Management and Economics, University of Electronic Science and Technology, Chengdu, China - College of Science, Ningbo University of Technology, Ningbo, China
- Zhu, Bo School of Finance, Southwestern University of Finance and Economics, Chengdu, China
- Tang, Yong School of Management and Economics, University of Electronic Science and Technology, Chengdu, China - Department of Physics, University of Fribourg, Switzerland
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15.08.2014
Published in:
- Physica A: Statistical Mechanics and its Applications. - 2014, vol. 408, p. 10–18
English
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.
- Faculty
- Faculté des sciences et de médecine
- Department
- Département de Physique
- Language
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- English
- Classification
- Physics
- License
- License undefined
- Identifiers
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- RERO DOC 231815
- DOI 10.1016/j.physa.2014.04.020
- Persistent URL
- https://folia.unifr.ch/unifr/documents/303718
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