A multiobjective genetic algorithm for portfolio selection with integer constraints
Part of : Σπουδαί : journal of economics and business ; Vol.58, No.1-2, 2008, pages 185-200
Issue:
Pages:
185-200
Author:
Abstract:
In this paper we develop a computational procedure in order to find the efficient frontier, i.e. a non-decreasing curve representing the set of Pareto-optimal or non-dominated portfolios, for the standard Markowitz mean-variance model enriched with integer constraints. These constraints limit both the portfolio to contain a predetermined number of assets and the proportion of the portfolio held in a given asset. The problem is solved by adapting the multiobjective algorithm NSGA (Non-dominated Sorting Genetic Algorithm) that ranks the solutions of each generation in layers based on Pareto non-domination. The algorithm was applied in 60 assets of ATHEX and a comparison with a single genetic algorithm was realized. The computational results indicate that the procedure is promising for this class of problems.
Subject (LC):
Keywords:
Markowitz model, multiobjective optimization, NSGA, portfolio selection
Notes:
Περιέχει πίνακες, διαγράμματα και βιβλιογραφία
