A Brief Introduction to Portfolio Optimization Using Genetic Algorithm

Authors(7) :-Abisekh Kumar, Minakshi Ghosh, Chiranjit Mandal, Runa Mallick, Arnab Chatterjee, Susobhan Das, Sourav Samanta

A portfolio can be said as a group of financial assets such as stocks bonds and even cash and funds. Portfolio optimization refers to the allocation of the investment in such a way among assets so as to maximize the overall profit and minimize the risk. The problem is obtaining the risk and expected return for each of the individual assets, further computations involving how to divide the basic wholesome amount of investment into different assets so as the entire weight of the assets remain one is ensured. Portfolio Optimization problem is an important and hard optimization problem that, with the addition of necessary realistic constraints,becomes computationally intractable, in the area of economics and finance. Genetic Algorithm (GA) is an optimization technique which mimics the natural evolution that has the optimization features. GA has been increasingly used during the last decades to support complex decision-making in a number of fields, such as image processing, logistics and transportation, telecommunication networks, bioinformatics, finance, and many more. In recent years, much work has been done in finding optimum solution in solving portfolio problem with the use of GA. This paper gives a brief introduction about how to use Genetic Algorithm for solving portfoliooptimization problem. This study focuses on optimization of Markowitz model using GA.

Authors and Affiliations

Abisekh Kumar
Department of Computer Science & Engineering, University Institute of Technology, The University of Burdwan, West Bengal, India
Minakshi Ghosh
Department of Computer Science & Engineering, University Institute of Technology, The University of Burdwan, West Bengal, India
Chiranjit Mandal
Department of Computer Science & Engineering, University Institute of Technology, The University of Burdwan, West Bengal, India
Runa Mallick
Department of Computer Science & Engineering, University Institute of Technology, The University of Burdwan, West Bengal, India
Arnab Chatterjee
ICICI Manipal Academy, Bengaluru, Karnataka, India
Susobhan Das
Department of Information Technology & Engineering, Baba Ghulam Shah Badshah University, Rajouri, J&K, India
Sourav Samanta
Department of Computer Science & Engineering, University Institute of Technology, The University of Burdwan, West Bengal, India

Portfolio Optimization,Markowitz Model, Genetic Algorithm.

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Publication Details

Published in : Volume 4 | Issue 1 | March-April 2018
Date of Publication : 2018-04-25
License:  This work is licensed under a Creative Commons Attribution 4.0 International License.
Page(s) : 335-340
Manuscript Number : CSEIT411856
Publisher : Technoscience Academy

ISSN : 2456-3307

Cite This Article :

Abisekh Kumar, Minakshi Ghosh, Chiranjit Mandal, Runa Mallick, Arnab Chatterjee, Susobhan Das, Sourav Samanta, "A Brief Introduction to Portfolio Optimization Using Genetic Algorithm ", International Journal of Scientific Research in Computer Science, Engineering and Information Technology (IJSRCSEIT), ISSN : 2456-3307, Volume 4, Issue 1, pp.335-340, March-April-2018.
Journal URL : http://ijsrcseit.com/CSEIT411856

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