Portfolio optimization using multi-obj ective genetic algorithms

  title={Portfolio optimization using multi-obj ective genetic algorithms},
  author={Prisadarng Skolpadungket and Keshav P. Dahal and Napat Harnpornchai},
  journal={2007 IEEE Congress on Evolutionary Computation},
A portfolio optimisation problem involves allocation of investment to a number of different assets to maximize yield and minimize risk in a given investment period. The selected assets in a portfolio not only collectively contribute to its yield but also interactively define its risk as usually measured by a portfolio variance. In this paper we apply various techniques of multiobjective genetic algorithms to solve portfolio optimization with some realistic constraints, namely cardinality… CONTINUE READING
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