Journal article

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
    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
  • English
Classification
Physics
License
License undefined
Identifiers
Persistent URL
https://folia.unifr.ch/unifr/documents/303718
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