In this paper we propose a new implementation of a multi objective genetic algorithm that handles constrained problems to approach the financial problem of the portfolio optimization. The objective of the paper is to propose and empirically apply a new multi-objective genetic algorithm for portfolio optimization extending the Markowitz mean-variance model ([1,2] Markowitz, 1952 and 1959). At the end of the paper the obtained results are discussed and compared with non linear other different techniques.

A Novel Multi Objective Genetic Algorithm for the Portfolio Optimization / Bevilacqua, Vitoantonio; Pacelli, Vincenzo; Saladino, Stefano. - STAMPA. - 6838:(2011), pp. 186-193. [10.1007/978-3-642-24728-6_25]

A Novel Multi Objective Genetic Algorithm for the Portfolio Optimization

Vitoantonio Bevilacqua;
2011-01-01

Abstract

In this paper we propose a new implementation of a multi objective genetic algorithm that handles constrained problems to approach the financial problem of the portfolio optimization. The objective of the paper is to propose and empirically apply a new multi-objective genetic algorithm for portfolio optimization extending the Markowitz mean-variance model ([1,2] Markowitz, 1952 and 1959). At the end of the paper the obtained results are discussed and compared with non linear other different techniques.
2011
Advanced Intelligent Computing : 7th International Conference, ICIC 2011, Zhengzhou, China, August 11-14, 2011. Revised Selected Papers
978-3-642-24727-9
Springer
A Novel Multi Objective Genetic Algorithm for the Portfolio Optimization / Bevilacqua, Vitoantonio; Pacelli, Vincenzo; Saladino, Stefano. - STAMPA. - 6838:(2011), pp. 186-193. [10.1007/978-3-642-24728-6_25]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11589/10704
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