A Genetic Algorithm for an Improved Portfolio Selection Model
Ping Wang · Systems Engineering · 2005
Based on the classical Markowitz portfolio model,an improved portfolio model is proposed for portfolio selection with minimum transaction lots,transaction costs and upper limit on the maximum amount of invested capital in any(security.) The portfolio selection modelling,as a nonlinear integer programming problem,is difficult with the traditional(optimization) methods.A genetic algorithms based on integer coding genetic operators is designed to propose the model.It is illustrated via a numerical example that the genetic algorithms can be used to solve the portfolio optimization problem(efficiently.)