Volume 7, Issue 4 (2008)
QJER 2008, 7(4): 49-69 |
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Taqavi Fard M T, Mansouri T, Khosh Tinat M. A Meta-heuristic Algorithm for Portfolio Selection Problem under Cardinality and Bounding Constraints. QJER 2008; 7 (4) :49-69
URL: http://ecor.modares.ac.ir/article-18-273-en.html
URL: http://ecor.modares.ac.ir/article-18-273-en.html
1- allame university
2- allame univarsity
2- allame univarsity
Abstract: (6735 Views)
The focus of this paper is on standard Markowitz mean–variance model and its traditional approach to solve portfolio selection problem (Quadratic Planning). For this goal we have applied a meta-heuristic method based on genetic algorithms (GA) in order to trace out the efficient frontier associated with the portfolio selection problem under cardinality and bounding constraints. These constraints ensure the investment in a given number of different assets and limit the amount of capital to be invested in each asset. We have presented some experimental results in two samples from Iranian stock market and overseas ones and compare the GA result with unconstrained quadratic results. Finally, we have found out which proposed GA can optimize portfolio selection problem under cardinality and bounded constrains
Keywords: Markowitz mean–variance model, Efficient frontier, Quadratic planning, Cardinality constrains, Genetic Algorithm
Received: 2006/09/20 | Accepted: 2007/10/29 | Published: 2007/12/22
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