关键词: 微分进化, 最优化, 多阶段投资组合, 资产分配

Abstract: Portfolio optimization problem decides the percentage of the overall portfolio value allocated to each portfolio component with specified risk-return characteristics. A mul- tistage optimization manages portfolio in constantly changing financial markets by periodi- cally rebalancing the asset portfolio to achieve return maximization and/or risk minimization. This paper purpose is to study the method of decision-making in the field of multi-stage portfolio optimization useing Differention Evolution Algorithms. The objective function is to maximize one’s economic utility or end-of-period wealth. And introduces how to use Differention Evolution Algorithms to find best portfolio according to objective function. By comparing the expect return and their variances that come from optimizing the allocation of cash and various stocks in the market of USA using Differention Evolution Algorithms with Genetic Algorithms,the performance of our method is demonstrated.

Key words: Differention-Evolution, 0ptimization, multi-stage-portfolio, asset allocation