Advanced Modeling and Optimization

Abstract for Paper 2 of Volume 4, Number 1, 2002, pp. 13-27


A genetic algorithm for portofolio selection problems.


Dan Lin
Institute of Systems Science, Academy of Mathematics and Systems Sciences,
Chinese Academy of Sciences, Beijing 100080, China
Shouyang Wang
Institute of Systems Science, Academy of Mathematics and Systems Sciences,
Chinese Academy of Sciences, Beijing 100080, China

Abstract

Two mean-variance models are proposed for portofolio selection with fixed transaction costs and minimum lots. The portofolio selection problems are modeled as a non-smooth nonlinear integer programming problem with single objective function and multiple objective functions respectively.
A new genetic algorithm based on NSGA-II is designed to solve the proposed models. It is illustrated via a numerical example that the genetic algorithm can be used to solve portofolio selection problems efficiently in practice.