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Abstract: In this paper we investigate the impact of different crossover operators for a real-valued Evolutionary Algorithm on the constrained portfolio selection problem based on the Markowitz mean-variance model. We also introduce an extension of a real-valued genotype, which increases the performance of the Evolutionary Algorithm significantly, independent of the crossover operator used. This extension is based on the effect that most efficient portfolios only consist of a selection of few assets.... (Update)
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BibTeX entry: (Update)
@misc{ streichert-evaluating,
author = "Felix Streichert and Holger Ulmer and Andreas Zell",
title = "Evaluating a Hybrid Encoding and Three Crossover Operators on the Constrained
Portfolio Selection Problem",
url = "citeseer.ist.psu.edu/article/streichert04evaluating.html" }
Citations (may not include all citations):221 Numerical Optimization of Computer Models (context) - Schwefel - 1977
206 Genetic Algorithms + Data Structures = Evolutions Programs (context) - Michalewicz - 1992
133 Multiobjective optimization using nondominated sorting in ge.. - Srinivas, Deb - 1994
129 OR-Library: distributing test problems by electronic mail (context) - Beasley - 1996
127 Portfolio selection (context) - Markowitz - 1952
101 Multiobjective Evolutionary Algorithms: A Comparative Case S.. - Zitzler, Thiele - 1999
81 Real-coded genetic algorithms and interval-schemata (context) - Eshelman, Schaffer - 1993
60 Genetic algorithms for real parameter optimization - Wright - 1991
59 A Fast Elitist NonDominated Sorting Genetic Algorithm for Mu.. - Deb, Agrawal et al. - 2000
56 Portfolio Selection: efficient diversification of investment.. (context) - Markowitz - 1959
49 The pareto archived evolution strategy: A new baseline algor.. - Knowles, Corne - 1999
42 SPEA2: Improving the Strength Pareto Evolutionary Algorithm - Zitzler, Laumanns et al. - 2001
42 Tackling real-coded genetic algorithms: Operators and tools .. - Herrera, Lozano et al. - 1998
21 Heuristics for cardinality constrained portfolio optimizatio.. - Chang, Meade et al. - 2000
18 the baldwin effect and function optimization (context) - Whitley, Gordon et al. - 1994
13 Distributed genetic algorithms with an application to portfo.. - Loraschi, Tettamanzi et al. - 1995
12 Global portfolio optimization (context) - Black, Litterman - 1992
12 A genetic approach to portfolio selection (context) - Arnone, Loraschi et al. - 1993
5 An evolutionary algorithm for portfolio selection in a downs.. - Loraschi, Tettamanzi - 1995
4 Evolutionary algorithms and the cardinality constrained port.. - Streichert, Ulmer et al. - 2003
4 Simulated annealing for complex portfolio selection problems (context) - Crama, Schyns - 1999
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