A study of risk free and risky portfolio investment optimisation strategies under multi-objective constraints-Reference-Cited by-同舟云学术

A study of risk free and risky portfolio investment optimisation strategies under multi-objective constraints

Published:2023-08-31 Issue: Volume:17 Page:39-44
ISSN:2957-952X
Container-title:Highlights in Business, Economics and Management
language:
Short-container-title:HBEM

Author:

Wang Zixu

Abstract

The purpose of portfolio investment is to maximise returns while minimizing risks. For investors with different risk attitudes, this research uses Economic Model Predictive Control (EMPC) to study the multi-objective securities portfolio problem and obtains a multi-objective securities strategy that guarantees the maximum return and the minimum risk under different risk attitudes through the tracking method, considering the return, risk, and other factors of the securities portfolio. Finally, the effectiveness of the strategy is verified by simulation, and an analytical method for selecting the optimal portfolio of securities is proposed.

Publisher

Darcy & Roy Press Co. Ltd.

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