A New Model for Portfolio Investment Based on Genetic Algorithms
Ze Liu, Xiang An, Rong Xi, Tang Wan · Systems engineering and electronics · 2002
This paper proposes an integer programming model for portfolio investment according to the present situation of China′s stock market and the demands of stock transaction. To study the model, a genetic algorithm is designed and the coding rules and algorithm procedure are set forth. The model is proved to be effective and reasonable with an example. Compared with traditional algorithms, the genetic algorithm is efficient to solve this model. Finally, a satisfactory result is obtained.