Evolutionary Programming Methodology for Portfolio Selection

Abstract

We present an approach to compute the efficient frontier for portfolio optimization based on evolutionary programming (EP) technique. Our approach relies on multiple EP runs within a search to create the frontier. Results from simulation, which runs on a personal computer platform, are shown for data set consisting of 24 types of securities. The algorithm converges quickly with consistent performance, making it suitable for creating efficient frontier for much larger number of assets. The versatility of the approach makes it viable to accommodate constraints or scenarios, which we perceive as either investors or market imposed conditions. Our technique opens up an avenue to conveniently overcome the symptomatic 'unrealizable or unreasonable portfolios' syndrome that plagued methodology that relies on identifying corner portfolios as a basis for creating the frontier.

Department(s)

Electrical and Computer Engineering

Document Type

Article - Conference proceedings

Document Version

Citation

File Type

text

Language(s)

English

Rights

© 2024 Institute of Electrical and Electronics Engineers, All rights reserved.

Publication Date

01 Jan 2000

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