NDLI: Differential evolution based optimization of risk budgeted Equity Market Neutral Portfolios

Content Provider	IEEE Xplore Digital Library
Author	Vijayalakshmi Pai, G.A. Michel, T.
Copyright Year	2012
Description	Author affiliation: Dept. of Computer Applications, PSG College of Technology, Coimbatore, INDIA (Vijayalakshmi Pai, G.A.) \|\| Tactical Asset Allocation and Overlay, Lombard Odier Darier Hentsch Gestion, Paris, FRANCE (Michel, T.)
Abstract	An Equity Market Neutral Portfolio (EMNP) is an assortment of long and short positions that ensures a riskless portfolio in terms of its exposure to the relevant market benchmark. While a naïve formulation of the EMNP optimization problem can be easily solved using linear programming techniques, the inclusion of the Risk Budget constraint on the high risk assets, together with the other EMNP specific constraints of zero net market exposure, close-to-zero portfolio beta and zero financial leveraging, besides the bounding constraints imposed on the long-short positions and high risk assets, can turn the problem difficult for direct solving using traditional methods. This work aims to solve such a complex constrained EMNP optimization problem using a meta-heuristic method viz., Differential Evolution (rand/1/bin) with Hall of Fame (DE HOF). The DE HOF exploits a penalty function strategy and employs weight standardization procedures to ensure faster convergence and an efficient tackling of complex constraints to yield optimal portfolios within realistic time. Experimental studies which include a rigorous out of sample performance analysis have been undertaken on the Bombay Stock Exchange data set (BSE 200: March 1999–March 2009) which included both upturns and downturns in the global markets.
Starting Page	1
Ending Page	8
File Size	1040936
Page Count	8
File Format	PDF
ISBN	9781467315104
e-ISBN	9781467315098
e-ISBN	9781467315081
DOI	10.1109/CEC.2012.6256583
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2012-06-10
Publisher Place	Australia
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Portfolios Optimization Computational intelligence Australia Benchmark testing Linear programming Standardization out of sample testing Equity Market Neutral Portfolio Risk Budgeting Differential Evolution portfolio beta
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in