Portfolio Optimization using Particle Swarm Optimization and Genetic Algorithm

This study basically employs the Markowitz mean–variance model for portfolio selection problem. Since this model is classified as a quadratic programming model there is not any efficient algorithm to solve it. The goal of this study is to find a feasible portfolio with a minimum risk through the application of heuristic algorithm. The two PSO and GA algorithm has been used. The results show that PSO approach is suitable in portfolio optimization.