Simulated annealing algorithm for optimal capital growth

Yong Luo, Bo Zhu and Yong Tang

Physica A: Statistical Mechanics and its Applications, 2014, vol. 408, issue C, 10-18

Abstract: 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.

Keywords: Capital growth; Asset allocation; Portfolio optimization; Simulate annealing (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:408:y:2014:i:c:p:10-18

DOI: 10.1016/j.physa.2014.04.020

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