Genetic Algorithm and MS Solver for Portfolio Optimization under Exogenous Influence

Author

Shaikh, Roshan A. ; Abbas, Ahmed

Author_Institution

Dept. of Comput. Sci., Iqra Univ., Karachi, Pakistan

Volume

1

fYear

2009

fDate

28-30 Dec. 2009

Firstpage

555

Lastpage

558

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 compared with MS Excel Solver (Solver). It is found that the model works well under the influence of a high probability of local minima.

Keywords

genetic algorithms; spreadsheet programs; stock markets; Karachi Stock Exchange assets; MS Excel solver; Markowitz mean-variance theory; constrained portfolio optimization; genetic algorithm; portfolio selection model; probability; Computational intelligence; Computer science; Constraint optimization; Covariance matrix; Evolutionary computation; Floors; Genetic algorithms; Particle swarm optimization; Portfolios; Stock markets; Computational Intelligence; Genetic Algorithm; Markowitz Mean-Variance Theory; Operations Research;

fLanguage

English

Publisher

ieee

Conference_Titel

Computer and Electrical Engineering, 2009. ICCEE '09. Second International Conference on

Conference_Location

Dubai

Print_ISBN

978-1-4244-5365-8

Electronic_ISBN

978-0-7695-3925-6

Type

conf

DOI

10.1109/ICCEE.2009.173

Filename

5380182