The Memetic Tree-based Genetic Algorithm and its application to Portfolio Optimization

@article{Aranha2009TheMT,
  title={The Memetic Tree-based Genetic Algorithm and its application to Portfolio Optimization},
  author={Claus de Castro Aranha and Hitoshi Iba},
  journal={Memetic Computing},
  year={2009},
  volume={1},
  pages={139-151}
}
We introduce a Memetic system to solve the application problem of Financial Portfolio Optimization. This problem consists of selecting a number of assets from a market and their relative weights to form an investment strategy. These weights must be optimized against a utility function that considers the expected return of each asset, and their co-variance; which means that as the number of available assets increases, the search space increases exponentially. Our method introduces two new… CONTINUE READING

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Mean-Variance analysis in portfolio choice and capital

  • H Markowitz
  • 1987
Highly Influential
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