Portfolio Selection by Maximizing Omega Function using Differential Evolution

Pekár, Juraj; Brezina, Ivan; Čičková, Zuzana; Reiff, Marian

doi:10.4236/ti.2013.41b012

Cited by 4 publications

(1 citation statement)

References 9 publications

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“…They studied the capital-labor ratio besides the population growth situation. However, Pekár et al (2013) [18] applied the maximizing of Omega function to select the portfolio while economic impact for the using the waste as a production input through the blue economic has been proposed by Varga et al (2013) [19]. This seems to be analogue to the RE support policy.…”

Section: Cost Analysismentioning

confidence: 99%

Economic Modeling for the Renewable Energy Support

Nada¹,

Hamed²

2015

OALib

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This paper presents a general economic modification for the present energy strategy. This modification is unidirectional economic concept depending on three principles. The paper explains shortly the basics of engineering connections between renewable energy stations and the traditional electric power networks, illustrating the technical rules while the economical base has been accounted with time consideration. Converting stations and rectification principles are priced, simply. Also, the cost comparison may be noted in order to find the best quick way for development. The proposed support depends on three axes as the technical (direct current distribution systems), financial banking, and industrial activity. This leads to a concentration in the manufactured equipments and devices to be capable for encourage the application of direct current operation. The tools and devices in the electric systems of cars may be the first key for the technical implementation as a stable actual market in the world so that the industrial axis would lead to the commercial use with a reduced price for each component due to the high growth in mass production. It is concluded that, the proposed philosophy can be introduced on the basis of government support through electric and industrial companies besides governmental banks. Also, encourage policy for private investment sectors in marketing and financial authorities may be needed where a simple economic model is illustrated. This is an economic differential solution since it accounts the price ratio for the aimed target.

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Section: Cost Analysismentioning

confidence: 99%

Economic Modeling for the Renewable Energy Support

Nada¹,

Hamed²

2015

OALib

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SOMA in Financial Modeling

Pekár

Čičková

Brezina

2016

Self-Organizing Migrating Algorithm

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Portfolio performance measurement using differential evolution

Pekár

Čičková

Brezina

2015

Cent Eur J Oper Res

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The basic problem in finance theory is the selection of an appropriate mix of assets in a portfolio in order to maximize portfolio expected return and subsequently to minimize portfolio risk. Another approach takes into account portfolio performance expressed by various measurement techniques e.g. Sharpe ratio, Treynor ratio, Jensen's alpha, Information ratio, Sortino ratio, Omega function and Sharpe Omega ratio that are focused on determine the allocation of the available resources in the selected group of assets. This paper presents the alternative approach computing the weights of assets in portfolio assets based on the nonlinear measure techniques: Sortino ratio and Omega function. The proposed alternative includes principle of differential evolution from the group of evolutionary techniques. The experiments are set up on assets included in Dow Jones Industrial Average. Presented original approach enables using also other evolutionary algorithms in the area of portfolio selection based on different measurement techniques.

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Portfolio Selection by Maximizing Omega Function using Differential Evolution

Cited by 4 publications

References 9 publications

Economic Modeling for the Renewable Energy Support

Economic Modeling for the Renewable Energy Support

SOMA in Financial Modeling

Portfolio performance measurement using differential evolution

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