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Genetic Algorithm and MS Solver for Portfolio Optimization under Exogenous Influence
Conference proceeding

Genetic Algorithm and MS Solver for Portfolio Optimization under Exogenous Influence

Roshan A. Shaikh and Ahmed Abbas
SECOND INTERNATIONAL CONFERENCE ON COMPUTER AND ELECTRICAL ENGINEERING, VOL 1, PROCEEDINGS, Vol.1, pp.555-558
International Conference on Computer and Electrical Engineering ICCEE
01/01/2009
DOI: https://doi.org/10.1109/ICCEE.2009.173

Abstract

Computer Science Computer Science, Artificial Intelligence Computer Science, Theory & Methods Engineering Engineering, Electrical & Electronic Science & Technology Technology
This study comprises of the Genetic Algorithm (GA) approach to optimize a constrained portfolio for maximum return with an acceptable risk for Karachi Stock Exchange (KSE) assets. The portfolio selection model used in this paper is based on the classical Markowitz mean-variance theory enhanced with exogenous influence of floor and ceiling. The results are compared with MS Excel Solver (Solver). It is found that the model works well under the influence of a high probability of local minima.

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