Penalty Algorithm Based on Conjugate Gradient Method for Solving Portfolio Management Problem | Zendy

Zhong Wan | Zendy; Shao Jun Zhang | Zendy; Ya Lin Wang | Zendy

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Penalty Algorithm Based on Conjugate Gradient Method for Solving Portfolio Management Problem

Author(s) -

Zhong Wan,

Shao Jun Zhang,

Ya Lin Wang

Publication year - 2009

Publication title -

journal of inequalities and applications

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.735

H-Index - 50

eISSN - 1029-242X

pISSN - 1025-5834

DOI - 10.1155/2009/970723

Subject(s) - conjugate gradient method , mathematics , conjugate , algorithm , mathematical optimization , conjugate residual method , derivation of the conjugate gradient method , computer science , gradient descent , artificial intelligence , mathematical analysis , artificial neural network

A new approach was proposed to reformulate the biobjectives optimization model of portfolio management into an unconstrained minimization problem, where the objective function is a piecewise quadratic polynomial. We presented some properties of such an objective function. Then, a class of penalty algorithms based on the well-known conjugate gradient methods was developed to find the solution of portfolio management problem. By implementing the proposed algorithm to solve the real problems from the stock market in China, it was shown that this algorithm is promising

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