Title :
Genetic Algorithm and MS Solver for Portfolio Optimization under Exogenous Influence
Author :
Shaikh, Roshan A. ; Abbas, Ahmed
Author_Institution :
Dept. of Comput. Sci., Iqra Univ., Karachi, Pakistan
Abstract :
This study comprises of the Genetic Algorithm (GA) approach to optimize a constrained portfolio for maximum return with an acceptable risk for Karachi Stock Exchange (KSE) assets. The portfolio selection model used in this paper is based on the classical Markowitz mean-variance theory enhanced with exogenous influence of floor and ceiling. The results are compared with MS Excel Solver (Solver). It is found that the model works well under the influence of a high probability of local minima.
Keywords :
genetic algorithms; spreadsheet programs; stock markets; Karachi Stock Exchange assets; MS Excel solver; Markowitz mean-variance theory; constrained portfolio optimization; genetic algorithm; portfolio selection model; probability; Computational intelligence; Computer science; Constraint optimization; Covariance matrix; Evolutionary computation; Floors; Genetic algorithms; Particle swarm optimization; Portfolios; Stock markets; Computational Intelligence; Genetic Algorithm; Markowitz Mean-Variance Theory; Operations Research;
Conference_Titel :
Computer and Electrical Engineering, 2009. ICCEE '09. Second International Conference on
Conference_Location :
Dubai
Print_ISBN :
978-1-4244-5365-8
Electronic_ISBN :
978-0-7695-3925-6
DOI :
10.1109/ICCEE.2009.173
