An Adaptive Approach to 'Stock Portfolio Optimizations with Genetic Algorithms'

18 Pages Posted: 2 Dec 2005

See all articles by Baris Taze

Baris Taze

Ankara University - Social Science Institute

Yalcin Karatepe

Ankara University - Faculty of Political Science

Date Written: October 10, 2005

Abstract

An adaptive genetic algorithm (GA) for stock portfolio optimization (SPO) is presented. It provides more control over portfolio selection like initially putting some predetermined favorable stocks into the portfolio and fixing them with certain weights; then searching the other appropriate ones for the rest of the portfolio. This is achieved by introducing a new weighting approach for the stocks, called Weight Distribution Vectors (WDVs). This text includes a brief history of problems in the SPO with Genetic Algorithms (GAs) and introduces the new technique, the WDVs, with the test results and a short discussion about its performance.

Keywords: Genetic Algorithms, Stock Portfolio Optimization

JEL Classification: G11, C61, C63

Suggested Citation

Taze, Baris and Karatepe, Yalcin, An Adaptive Approach to 'Stock Portfolio Optimizations with Genetic Algorithms' (October 10, 2005). Available at SSRN: https://ssrn.com/abstract=860424 or http://dx.doi.org/10.2139/ssrn.860424

Baris Taze

Ankara University - Social Science Institute ( email )

TR-06590 Cebeci
Ankara
Turkey
+90 312 2873565 Ext: 1276 (Phone)

Yalcin Karatepe (Contact Author)

Ankara University - Faculty of Political Science ( email )

TR-06590 Cebeci
Ankara, 06590
Turkey
+90 312 595 12 13 (Phone)

HOME PAGE: http://politics.ankara.edu.tr/~karatepe

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