Multi-population genetic algorithm for cardinality constrained portfolio selection problems

Sabar, N, Turky, A, Leenders, M and Song, A 2018, 'Multi-population genetic algorithm for cardinality constrained portfolio selection problems', Lecture Notes in Computer Science, vol. 10860LNCS, pp. 129-140.


Document type: Journal Article
Collection: Journal Articles

Title Multi-population genetic algorithm for cardinality constrained portfolio selection problems
Author(s) Sabar, N
Turky, A
Leenders, M
Song, A
Year 2018
Journal name Lecture Notes in Computer Science
Volume number 10860LNCS
Start page 129
End page 140
Total pages 12
Publisher Springer
Abstract Portfolio Selection (PS) is recognized as one of the most important and challenging problems in financial engineering. The aim of PS is to distribute a given amount of investment fund across a set of assets in such a way that the return is maximised and the risk is minimised. To solve PS more effectively and more efficiently, this paper introduces a Multi-population Genetic Algorithm (MPGA) methodology. The proposed MPGA decomposes a large population into multiple populations to explore and exploit the search space simultaneously. These populations evolve independently during the evolutionary learning process. Yet different populations periodically exchange their individuals so promising genetic materials could be shared between different populations. The proposed MPGA method was evaluated on the standard PS benchmark instances. The experimental results show that MPGA can find better investment strategies in comparison with state-of-the-art portfolio selection methods. In addition, the search process of MPGA is more efficient than these existing methods requiring significantly less amount of computation.
Subject Decision Support and Group Support Systems
Marketing Research Methodology
Keyword(s) Genetic algorithms
Multi-population GA
Optimisation
Portfolio selection problems
DOI - identifier 10.1007/978-3-319-93698-7_10
Copyright notice © Springer International Publishing AG, part of Springer Nature 2018.
ISSN 0302-9743
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