A novel multi objective genetic algorithm for the portfolio optimization

Authors:
Vitoantonio Bevilacqua;Vincenzo Pacelli;Stefano Saladino
Affiliations:
Dipartimento di Elettrotecnica ed Elettronica, Politecnico di Bari, Bari, Italy;Faculty of Economics, University of Foggia, Foggia, Italy;Dipartimento di Elettrotecnica ed Elettronica, Politecnico di Bari, Bari, Italy
Venue:
ICIC'11 Proceedings of the 7th international conference on Advanced Intelligent Computing
Year:
2011

Citing 3
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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.