Felix Streichert, Holger Ulmer, and Andreas Zell

Evolutionary Algorithms and the Cardinality Constrained Portfolio Optimization Problem

Selected Papers of the International Conference on Operations Research (OR 2003)

Abstract

While the unconstrained portfolio optimization problem can be solved efficiently by standard algorithms, this is not the case for the portfolio optimization problem with additional real world constraints like cardinality constraints, buy-in thresholds, roundlots etc. In this paper we investigate two extensions to Evolutionary Algorithms (EA) applied to the portfolio optimization problem. First, we introduce a problem specific EA representation and then we add a local search for feasible solutions to improve the performance of the EA. All algorithms are compared on the constrained and unconstrained portfolio optimization problem.

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BibTeX 

@inproceedings{streichert03evolving,
  author 		= "Felix Streichert and Holger Ulmer and Andreas Zell ",
  title 		= "Evolutionary Algorithms and the Cardinality Constrained Portfolio Optimization Problem",
  booktitle 		= "Selected Papers of the International Conference on Operations Research (OR 2003)",
  pages 		= "253-260",
  year 			= "2003",
  month 		= "3-5 September",
  address 		= {Heidelberg, Germany},
  publisher 		= {Springer Verlag},
  publisher_address 	= {Berlin},  
  abstract 		= {While the unconstrained portfolio optimization problem can be solved efficiently by standard algorithms, 
this is not the case for the portfolio optimization problem with additional real world constraints like 
cardinality constraints, buy-in thresholds, roundlots etc. In this paper we investigate two extensions 
to Evolutionary Algorithms (EA) applied to the portfolio optimization problem. First, we introduce a 
problem specific EA representation and then we add a local search for feasible solutions to improve the 
performance of the EA. All algorithms are compared on the constrained and unconstrained portfolio 
optimization problem.},
  url			= "http://www.ra.cs.uni-tuebingen.de/mitarb/streiche/publications/streichert03evolutionary.html"
}