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Title |
The Adaptive Genetic Algorithms for Portfolio Selection Problem |
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Author |
Wei-Guo Zhang, Wei CHEN, Ying-Luo Wang |
| Citation |
Vol. 6 No. 1 pp. 196~200 |
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Abstract |
Genetic algorithms (GA) are stochastic search techniques based on the mechanics of natural selection and natural genetics. In this paper, the adaptive genetic algorithms are applied to solve the portfolio selection problem in which there exist both probability constraint on the lowest return rate of portfolio and lower and upper bounds constraints on the investment rates to assets. First, the stochastic model of portfolio selection and it's the reliability decision are presented. Second, the adaptive genetic algorithm to solve the reliability decision is given. Finally, a numerical example of portfolio selection problem is given to illustrate our proposed effective means. |
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Keywords |
Adaptive genetic algorithms, Portfolio selection, stochastic optimization |
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