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Date of Publication:2022-10-04

Journal:大连理工大学学报

Affiliation of Author(s):数学科学学院

Issue:3

Page Number:299-303

ISSN No.:1000-8608

Abstract:Stochastic dominance is fundamental concept in economics and decision‐making theory ,and is widely applied to portfolio optimization in recent years .Genetic algorithm has the advantages , which doesn′t need to solve the subdifferential of object function and constrained function or to satisfy Slater constrained rules ,so it can solve the constrained semi‐infinite and non‐smooth problem .Two examples show that the genetic algorithm can well solve the portfolio optimization problem and the efficiency is greatly improved .

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