A combination genetic algorithm with applications on portfolio optimization

Authors:
Jiah-Shing Chen;Jia-Leh Hou
Affiliations:
National Central University, Jungli, Taiwan;National Central University, Jungli, Taiwan
Venue:
IEA/AIE'06 Proceedings of the 19th international conference on Advances in Applied Artificial Intelligence: industrial, Engineering and Other Applications of Applied Intelligent Systems
Year:
2006

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Abstract

This paper proposes a combination genetic algorithm (GA) for solving the combination optimization problems which can not be naturally solved by standard GAs. A combination encoding scheme and genetic operators are designed for solving combination optimization problems. We apply this combination GA to the portfolio optimization problem which can be reformulated approximately as a combination optimization problem. Experimental results show that the proposed combination GA is effective in solving the portfolio optimization problem.