APPLICATION OF GENETIC ALGORITHM IN PORTFOLIO SELECTION PROBLEM

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ABDOLALIZADEH SHAHIR S.; ESHGHI K.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: Iranian Journal of Economic Research Year:2004 | Volume:5 | Issue:17 Page(s): 175-192

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Information Journal Paper

Title

APPLICATION OF GENETIC ALGORITHM IN PORTFOLIO SELECTION PROBLEM

Author(s)

ABDOLALIZADEH SHAHIR S. | ESHGHI K. | Issue Writer Certificate

Keywords

PORTFOLIO SELECTIONQ4

INVESTMENTQ2

GENETIC ALGORITHMQ2

OPTIMIZATIONQ2

Abstract

One of the classical applications of operation research in INVESTMENT decision making is the PORTFOLIO SELECTION problem. In this problem a fixed sum of money is to be spread among different INVESTMENTs and there is a risk associated with the rate of return on each INVESTMENT. The object of the PORTFOLIO SELECTION problem is to determine how much money should be allocated to each INVESTMENT to maximize the total expected return and minimize the portfolio's risk. Since there is no specific algorithm to find an optimal feasible solution for large scale portfolio problems, in this paper two GENETIC ALGORITHMs are developed to find a near optimal solution. In the first algorithm the selection of INVESTMENTs is determined and in the second one the weight of each INVESTMENT in the portfolio is calculated. Finally, the two algorithms have been applied successfully to the portfolio of stocks of the Tehran Stock Exchange with more than 200 stocks.

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APA: Copy

ABDOLALIZADEH SHAHIR, S., & ESHGHI, K.. (2004). APPLICATION OF GENETIC ALGORITHM IN PORTFOLIO SELECTION PROBLEM. IRANIAN ECONOMIC RESEARCH, 5(17), 175-192. SID. https://sid.ir/paper/2827/en

Vancouver: Copy

ABDOLALIZADEH SHAHIR S., ESHGHI K.. APPLICATION OF GENETIC ALGORITHM IN PORTFOLIO SELECTION PROBLEM. IRANIAN ECONOMIC RESEARCH[Internet]. 2004;5(17):175-192. Available from: https://sid.ir/paper/2827/en

IEEE: Copy

S. ABDOLALIZADEH SHAHIR, and K. ESHGHI, “APPLICATION OF GENETIC ALGORITHM IN PORTFOLIO SELECTION PROBLEM,” IRANIAN ECONOMIC RESEARCH, vol. 5, no. 17, pp. 175–192, 2004, [Online]. Available: https://sid.ir/paper/2827/en

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