Welcome to the InfoSci Platform
The Genetic Algorithm: An Application on Portfolio Optimization

The Genetic Algorithm: An Application on Portfolio Optimization

Burcu Adıguzel Mercangöz, Ergun Eroglu
Copyright: © 2021 |Pages: 21
ISBN13: 9781799880486|ISBN10: 1799880486|EISBN13: 9781799880998
DOI: 10.4018/978-1-7998-8048-6.ch040
Cite Chapter Cite Chapter

MLA

Mercangöz, Burcu Adıguzel, and Ergun Eroglu. "The Genetic Algorithm: An Application on Portfolio Optimization." Research Anthology on Multi-Industry Uses of Genetic Programming and Algorithms, edited by Information Resources Management Association, IGI Global, 2021, pp. 790-810. https://doi.org/10.4018/978-1-7998-8048-6.ch040

APA

Mercangöz, B. A. & Eroglu, E. (2021). The Genetic Algorithm: An Application on Portfolio Optimization. In I. Management Association (Ed.), Research Anthology on Multi-Industry Uses of Genetic Programming and Algorithms (pp. 790-810). IGI Global. https://doi.org/10.4018/978-1-7998-8048-6.ch040

Chicago

Mercangöz, Burcu Adıguzel, and Ergun Eroglu. "The Genetic Algorithm: An Application on Portfolio Optimization." In Research Anthology on Multi-Industry Uses of Genetic Programming and Algorithms, edited by Information Resources Management Association, 790-810. Hershey, PA: IGI Global, 2021. https://doi.org/10.4018/978-1-7998-8048-6.ch040

Export Reference

Mendeley
Favorite

Abstract

The portfolio optimization is an important research field of the financial sciences. In portfolio optimization problems, it is aimed to create portfolios by giving the best return at a certain risk level from the asset pool or by selecting assets that give the lowest risk at a certain level of return. The diversity of the portfolio gives opportunity to increase the return by minimizing the risk. As a powerful alternative to the mathematical models, heuristics is used widely to solve the portfolio optimization problems. The genetic algorithm (GA) is a technique that is inspired by the biological evolution. While this book considers the heuristics methods for the portfolio optimization problems, this chapter will give the implementing steps of the GA clearly and apply this method to a portfolio optimization problem in a basic example.

Request Access

You do not own this content. Please login to recommend this title to your institution's librarian or purchase it from the IGI Global bookstore.