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A multiobjective genetic algorithm for portofolio selection with integer constraints

Journal of Economics and Business - SPOUDAI

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Title A multiobjective genetic algorithm for portofolio selection with integer constraints
A multiobjective genetic algorithm for portofolio selection with integer constraints
 
Creator Αναγνωστόπουλος, Κ. Π.
Μαμάνης, Γ.
 
Subject Μαθηματικά; Μαθηματικά μοντέλα
Mathematics; Mathematical models
 
Description 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.
 
Publisher University of Piraeus
 
Date 2008-01-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
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Format application/pdf
 
Identifier http://spoudai.unipi.gr/index.php/spoudai/article/view/1302
 
Source SPOUDAI - Journal of Economics and Business; Vol 58, No 1-2 (2008); 185-200
2241-424X
1105-8919
 
Language eng
 
Relation http://spoudai.unipi.gr/index.php/spoudai/article/view/1302/1381
 
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