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Mathematical Problems in Engineering
Volume 2015 (2015), Article ID 451627, 8 pages
Research Article

A Convex-Risk-Measure Based Model and Genetic Algorithm for Portfolio Selection

1International Business School, Shaanxi Normal University, Xi’an 710119, China
2School of Mathematics and Statistics, Xidian University, Xi’an 710071, China
3School of Mathematics and Information Science, Shaanxi Normal University, Xi’an 710119, China

Received 19 August 2014; Accepted 8 October 2014

Academic Editor: Yuping Wang

Copyright © 2015 Weijia Wang et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


A convex risk measure called weighted expected shortfall (briefly denoted as WES (Chen and Yang, 2011)) is adopted as the risk measure. This measure can reflect the reasonable risk in the stock markets. Then a portfolio optimization model based on this risk measure is set up. Furthermore, a genetic algorithm is proposed for this portfolio optimization model. At last, simulations are made on randomly chosen ten stocks for 60 days (during January 2, 2014 to April 2, 2014) from Wind database (CFD) in Shenzhen Stock Exchange, and the results indicate that the proposed model is reasonable and the proposed algorithm is effective.