Genetic Algorithm for the Portfolio Selection Problem on the Romanian Capital Market
نویسندگان
چکیده
The present paper presents theoretical aspects regarding the model for portfolio selection developed by Markowitz and aspects related to genetic algorithms. Starting from Markowitz’s model, an indicator of the risk-aversion of investors is introduced in the initial model, the new optimization problem being solved with the help of the GA Optimization Tool from Matlab. The results obtained lead to the conclusion that genetic algorithms are rightfully considered to be powerful and efficient optimization tools.
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تاریخ انتشار 2010