Building Risk-Optimal Portfolio Using Evolutionary Strategies

Authors:
Piotr Lipinski;Katarzyna Winczura;Joanna Wojcik
Affiliations:
Laboratoire des Sciences de l'Image, de l'Informatique et de la Télédétection, CNRS, Université Louis Pasteur, Strasbourg, France;Department of Mathematical Economics and e-Business, University of Information Technology and Management, Rzeszow, Poland;Department of Mathematical Economics and e-Business, University of Information Technology and Management, Rzeszow, Poland
Venue:
Proceedings of the 2007 EvoWorkshops 2007 on EvoCoMnet, EvoFIN, EvoIASP,EvoINTERACTION, EvoMUSART, EvoSTOC and EvoTransLog: Applications of Evolutionary Computing
Year:
2009

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Abstract

In this paper, an evolutionary approach to portfolio optimization is proposed. In the approach, various risk measures are introduced instead of the classic risk measure defined by variance. In order to build the risk-optimal portfolio, three evolutionary algorithms based on evolution strategies are proposed. Evaluations of the approach is performed on financial time series from the Warsaw Stock Exchange.