Felix Streichert, Holger Ulmer, and Andreas Zell

Comparing Discrete and Continuous Genotypes on the Constrained Portfolio Selection Problem

Published at the Genetic and Evolutionary Computation Conference - GECCO 2004 in Seattle, Washington

Abstract

In financial engineering the problem of portfolio selection has drawn much attention in the last decades. But still unsolved problems remain, while on the one hand the type of model to use is still debated, even the most common models cannot be solved efficiently, if real world constraints are added. This is not only because the portfolio selection problem is multi-objective, but also because constraints may turn a formerly continuous problem into a discrete one. Therefore, we suggest to use a Multi-Objective Evolutionary Algorithm and compare discrete and continuous representations. To meet constraints we apply a repair mechanism and examine the impact of Lamarckism and the Baldwin Effect on several instances of the portfolio selection problem.

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BibTeX 

@inproceedings{Streichert04Comparing,
  author 	= {Felix Streichert and Holger Ulmer and Andreas Zell},
  title 	= {Comparing Discrete and Continuous Genotypes on the Constrained Portfolio Selection Problem },
  booktitle 	= {Genetic and Evolutionary Computation Conference - {GECCO 2004}},  
  year 		= {2004},
  month 	= {June 26-30},
  editor    	= {Kalyanmoy Deb and Riccardo Poli and Wolfgang Banzhaf and Hans-Georg Beyer and Edmund K. Burke and Paul J. Darwen and Dipankar Dasgupta and Dario Floreano and James A. Foster and Mark Harman and Owen Holland and Pier Luca Lanzi and Lee Spector and Andrea Tettamanzi and Dirk Thierens and Andrew M. Tyrrell},    
  series 	= {LNCS},
  volume 	= {3103},
  address 	= {Seattle, Washington, USA},
  publisher 	= {Springer Verlag},
  publisher_address = {Berlin},
  pages 	= {1239-1250},
  ISBN 		= {3-540-22343-6},
  url		= "http://www.ra.cs.uni-tuebingen.de/mitarb/streiche/welcome_e.html"
}