Future paths for integer programming and links to artificial intelligence
Computers and Operations Research - Special issue: Applications of integer programming
Practical methods of optimization; (2nd ed.)
Practical methods of optimization; (2nd ed.)
Introduction to algorithms
Genetic algorithms + data structures = evolution programs (3rd ed.)
Genetic algorithms + data structures = evolution programs (3rd ed.)
Memetic algorithms: a short introduction
New ideas in optimization
Heuristics for cardinality constrained portfolio optimisation
Computers and Operations Research
Genetic Algorithms in Search, Optimization and Machine Learning
Genetic Algorithms in Search, Optimization and Machine Learning
Estimation of Distribution Algorithms: A New Tool for Evolutionary Computation
Estimation of Distribution Algorithms: A New Tool for Evolutionary Computation
Local Search Techniques for Constrained Portfolio SelectionProblems
Computational Economics
Computational Study of a Family of Mixed-Integer Quadratic Programming Problems
Proceedings of the 4th International IPCO Conference on Integer Programming and Combinatorial Optimization
Extending Population-Based Incremental Learning to Continuous Search Spaces
PPSN V Proceedings of the 5th International Conference on Parallel Problem Solving from Nature
Population-Based Incremental Learning: A Method for Integrating Genetic Search Based Function Optimization and Competitive Learning
A well-conditioned estimator for large-dimensional covariance matrices
Journal of Multivariate Analysis
The equation for response to selection and its use for prediction
Evolutionary Computation
Expert Systems with Applications: An International Journal
Editor's remarks: evolutionary multiobjective optimization
IEEE Computational Intelligence Magazine
IEEE Computational Intelligence Magazine
Evolutionary multi-objective optimization: a historical view of the field
IEEE Computational Intelligence Magazine
Proceedings of the 13th annual conference on Genetic and evolutionary computation
Dynamic index tracking via multi-objective evolutionary algorithm
Applied Soft Computing
Expert Systems with Applications: An International Journal
Power law-based local search in differential evolution
International Journal of Computational Intelligence Studies
Expert Systems with Applications: An International Journal
A hybrid intelligent system of ANFIS and CAPM for stock portfolio optimization
Journal of Intelligent & Fuzzy Systems: Applications in Engineering and Technology
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A novel memetic algorithm that combines evolutionary algorithms, quadratic programming, and specially devised pruning heuristics is proposed for the selection of cardinalityconstrained optimal portfolios. The framework used is the standard Markowitz mean-variance formulation for portfolio optimization with constraints of practical interest, such as minimum and maximum investments per asset and/or on groups of assets. Imposing limits on the number of different assets that can be included in the investment transforms portfolio selection into an NP-complete mixed-integer quadratic optimization problem that is difficult to solve by standard methods. An implementation of the algorithm that employs a genetic algorithm with a set representation, an appropriately defined mutation operator and Random Assortment Recombination for crossover (RAR-GA) is compared with implementations using Simulated Annealing (SA) and various Estimation of Distribution Algorithms (EDAs). An empirical investigation of the performance of the portfolios selected with these different methods using financial data shows that RAR-GA and SA are superior to the implementations with EDAs in terms of both accuracy and efficiency. The use of pruning heuristics that effectively reduce the dimensionality of the problem by identifying and eliminating from the universe of investment assets that are not expected to appear in the optimal portfolio leads to significant improvements in performance and makes EDAs competitive with RAR-GA and SA.