An Adaptive Approach to 'Stock Portfolio Optimizations with Genetic Algorithms'
18 Pages Posted: 2 Dec 2005
Date Written: October 10, 2005
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: Suggested Citation