Open AccessSOFTWARE SYSTEM OF MULTI-OBJECTIVE OPTIMIZATION BY METHOD OF INVESTMENT PORTFOLIO
Author(s) -
П. В. Казаков,
П. В. Казаков
Publication year - 2019
Publication title -
vestnik brânskogo gosudarstvennogo tehničeskogo universiteta
Language(s) - English
Resource type - Journals
ISSN - 1999-8775
DOI - 10.30987/article_5d2d9232759903.08431880
Subject(s) - profitability index , portfolio optimization , software , investment (military) , computer science , automation , pareto principle , portfolio investment , portfolio , mathematical optimization , economics , engineering , finance , mathematics , politics , political science , law , mechanical engineering , programming language
A financial market changing state requires an automation to determine investment strategies in combination with the high accuracy of solutions found. There is offered a solution for the problem mentioned with the use of methods of an evolutionary modeling, in particular, a genetic algorithm developed. It allows defining optimum Pareto options of an investment portfolio (IP) differing with the balance between its profitability and a risk. The algorithm mentioned is used in the developed software program with a module structure. It contains the collection and analysis subsystems of data on security characteristics, IP structure optimization, and also IP choice the most corresponding to investor’s requirements. The software system working capacity was analyzed at IP formation on the basis of actual data during the time period chosen the data obtained correspond to the indices of possible investment strategies.