Index Tracking : Genetic Algorithms for Investment Portfolio Selection

@inproceedings{Shapcott1992IndexT,
  title={Index Tracking : Genetic Algorithms for Investment Portfolio Selection},
  author={J Shapcott},
  year={1992}
}
  • J Shapcott
  • Published 1992
This project was concerned with passive portfolio selection using genetic algorithms and quadratic programming techniques. Searching a large universal set of shares for a subset that performs well is intractable, so a stochastic search method must be used. The genetic algorithm generates the subsets, and quadratic programming is used to find both their performance and the proportion of the available capital that should be invested in each member company. Separate subpopulations are maintained… CONTINUE READING
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Nicholas J. Radcliffe. Forma Analysis, Random Respectful Recombination. In Proceedings of the Fo Algorithms
Morgan Kaufmann (San Mateo, CA), • 1991
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