Genetic Algorithm and MS Solver for Portfolio Optimization under Exogenous Influence

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… (More)

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