Felix Streichert, Holger Ulmer, and Andreas Zell

Evaluating a Hybrid Encoding and Three Crossover Operators on the Constrained Portfolio Selection Problem

Published at the 2004 IEEE Congress on Evolutionary Computation in Portland, Oregon

Abstract

In this paper we investigate the impact of different crossover operators for a real-valued Evolutionary Algorithm on the constrained portfolio selection problem based on the Markowitz mean-variance model. We also introduce an extension of a real-valued genotype, which increases the performance of the Evolutionary Algorithm significantly, independent of the crossover operator used. This extension is based on the effect that most efficient portfolios only consist of a selection of few assets. Therefore, the portfolio selection problem is actually a combination of a knapsack and continuous parameter problem. We also introduce a repair mechanism and examine the impact of Lamarckism on the performance of the Evolutionary Algorithm.

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BibTeX 

@inproceedings{Streichert04Evaluating,
  title 	= {Evaluating a Hybrid Encoding and Three Crossover Operators on the Constrained Portfolio Selection Problem },
  author 	= {F. Streichert and H. Ulmer and A. Zell},
  booktitle	= {Congress on Evolutionary Computation {(CEC 2004)}},
  address 	= {Portland, Oregon, USA},	
  year		= {2004},
  publisher	= {IEEE Press},
  ISBN 		= {0-7803-8515-2},	
  page 		= {932-939},
  url		= "http://www.ra.cs.uni-tuebingen.de/mitarb/streiche/welcome_e.html"
}