Study on the Portfolio Problem Based on Differential Evolution
Dazhi Jiang · Journal of Shantou University · 2012
Differential Evolution(DE) is an effective and global searching algorithm which has been widely used in a lot of areas successfully.This paper focuses on the application of DE to the portfolio problem,looking forward to find out the best solutions to Markowitz mean-variance model.The experimental results show that DE algorithm is more efficient than traditional genetic algorithm and particle swarm optimization in portfolio practice.