Computer-aided multi-optimization through genetic algorithms for funding allocation

Authors:
Antonio Carlos Pinto Dias Alves
Affiliations:
Banco do Brasil, Brazil
Venue:
ISTASC'07 Proceedings of the 7th Conference on 7th WSEAS International Conference on Systems Theory and Scientific Computation - Volume 7
Year:
2007

Citing 2
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Local Search in Combinatorial Optimization

Local Search in Combinatorial Optimization
Computational Study of a Family of Mixed-Integer Quadratic Programming Problems

Proceedings of the 4th International IPCO Conference on Integer Programming and Combinatorial Optimization

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Abstract

In this paper we consider the problem of finding the efficient frontier associated with the standard mean-variance portfolio optimization model. We extend the standard model to include cardinality constraints that limit a portfolio to have a specified number of assets, and to impose limits on the proportion of the portfolio held in a given asset (if any of the asset is held). We illustrate the differences that arise in the shape of this efficient frontier when such constraints are present. We present some heuristic algorithms based upon genetic algorithms. We used a new operator and posed a multi-objective optimization function to achieve the results.