A study of risk free and risky portfolio investment optimisation strategies under multi-objective constraints
DOI:
https://doi.org/10.54097/hbem.v17i.11043Keywords:
Security investment; portfolio optimization; investment risk; investment return; investment strategy.Abstract
The purpose of portfolio investment is to maximise returns while minimizing risks. For investors with different risk attitudes, this research uses Economic Model Predictive Control (EMPC) to study the multi-objective securities portfolio problem and obtains a multi-objective securities strategy that guarantees the maximum return and the minimum risk under different risk attitudes through the tracking method, considering the return, risk, and other factors of the securities portfolio. Finally, the effectiveness of the strategy is verified by simulation, and an analytical method for selecting the optimal portfolio of securities is proposed.
Downloads
References
Tsun Fung Leung and Tsun Ho Leung. 2019. An Investigation of Graph Theory Application on Portfolio Investment. In Proceedings of the 2019 10th International Conference on E-business, Management and Economics (ICEME 2019). Association for Computing Machinery, New York, NY, USA, 180–183. https://doi.org/10.1145/3345035.3345090.
Fuyang Zhang, Yuhan Ma, and Shuhan Yu. 2022. Investment Model Based on LSTM Network Forecasting and Portfolio Investment. In Proceedings of the 2022 International Conference on E-business and Mobile Commerce (ICEMC '22). Association for Computing Machinery, New York, NY, USA, 119–124. https://doi.org/10.1145/3543106.3543126.
Siying Chen. 2023. Research on investment portfolio strategy based on intelligent optimization algorithm. In Proceedings of the 11th International Conference on Software and Information Engineering (ICSIE '22). Association for Computing Machinery, New York, NY, USA, 72–76. https://doi.org/10.1145/3571513.3571526.
T. Stoilov and V. Ivanova. 2003. Portfolio optimization of investment decisions on the securities market in Bulgaria. In Proceedings of the 4th international conference conference on Computer systems and technologies: e-Learning (CompSysTech '03). Association for Computing Machinery, New York, NY, USA, 431–436. https://doi.org/10.1145/973620.973692.
Guang Sun, Fenghua Li, Jiayi Ren, Hongzhang Lv, Yanfei Xiao, and Yingchao Wang. 2019. On data visualization for securities investment fund analysis. In Proceedings of the ACM Turing Celebration Conference - China (ACM TURC '19). Association for Computing Machinery, New York, NY, USA, Article 146, 1–11. https://doi.org/10.1145/3321408.3326674.
Wenting Tu, David W. Cheung, Nikos Mamoulis, Min Yang, and Ziyu Lu. 2016. Investment Recommendation using Investor Opinions in Social Media. In Proceedings of the 39th International ACM SIGIR conference on Research and Development in Information Retrieval (SIGIR '16). Association for Computing Machinery, New York, NY, USA, 881–884. https://doi.org/10.1145/2911451.2914699.
Y. Zaychenko and I. Sidoruk, "Problem of fuzzy portfolio optimization and its solution with application of forecasting methods," 2015 Xth International Scientific and Technical Conference "Computer Sciences and Information Technologies" (CSIT), Lviv, Ukraine, 2015, pp. 97-103, doi: 10.1109/STC-CSIT.2015.7325442.
A. Syrovatkin, "Mixed Investment Portfolio with Limited Asset Selection," 2020 13th International Conference "Management of large-scale system development" (MLSD), Moscow, Russia, 2020, pp. 1-5, doi: 10.1109/MLSD49919.2020.9247765.
S. Yan and W. Xin, "Empirical Analysis of Investment Portfolio Based on Bi-objective," 2010 3rd International Conference on Information Management, Innovation Management and Industrial Engineering, Kunming, China, 2010, pp. 233-236, doi: 10.1109/ICIII.2010.62.
X. Zhijie, "A Method of IT Investment Portfolio Optimization in the Government Sector Integrated with IT Governance," 2012 Second International Conference on Business Computing and Global Informatization, Shanghai, China, 2012, pp. 6-9, doi: 10.1109/BCGIN.2012.9.
A. Marchev and A. Marchev, "Self-organization types for autonomous investment portfolio," 2016 IEEE 8th International Conference on Intelligent Systems (IS), Sofia, Bulgaria, 2016, pp. 658-663, doi: 10.1109/IS.2016.7737498.
Downloads
Published
Issue
Section
License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
