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Research on the Multi-Objective Optimization for Return Rate and Risk of Financial Resource Allocation

Research on the Multi-Objective Optimization for Return Rate and Risk of Financial Resource Allocation

Shuqi Wan
Copyright: © 2022 |Volume: 15 |Issue: 1 |Pages: 10
ISSN: 1938-7857|EISSN: 1938-7865|EISBN13: 9781683180340|DOI: 10.4018/JITR.299950
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MLA

Wan, Shuqi. "Research on the Multi-Objective Optimization for Return Rate and Risk of Financial Resource Allocation." JITR vol.15, no.1 2022: pp.1-10. http://doi.org/10.4018/JITR.299950

APA

Wan, S. (2022). Research on the Multi-Objective Optimization for Return Rate and Risk of Financial Resource Allocation. Journal of Information Technology Research (JITR), 15(1), 1-10. http://doi.org/10.4018/JITR.299950

Chicago

Wan, Shuqi. "Research on the Multi-Objective Optimization for Return Rate and Risk of Financial Resource Allocation," Journal of Information Technology Research (JITR) 15, no.1: 1-10. http://doi.org/10.4018/JITR.299950

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Abstract

Aiming at the problems existing in the optimal allocation of financial resources, this paper establishes an optimization model and calculates the optimal allocation coefficient. With the help of Markowitz's investment theory, two indicators, which are investment risk and return rate, are analyzed quantitatively. First, by analyzing the allocation efficiency and risk of financial resources, the allocation efficiency model is established, and the problem is decomposed into a finite 0-1 programming problem, which is solved by Hungarian Method. Secondly, considering the minimum allocation risk and the expected maximum return, the multi-objective model is solved by progressive optimal algorithm. The model reflects both unsatisfaction and risk avoidance which are the two characteristics of rational investment behavior. The analysis shows that the model has strong applicability and can be expected to improve the allocation efficiency of financial resources and reduce the allocation risk.