Abstract
In this paper we propose a new implementation of a multi objective genetic algorithm that handles constrained problems to approach the financial problem of the portfolio optimization. The objective of the paper is to propose and empirically apply a new multi-objective genetic algorithm for portfolio optimization extending the Markowitz mean-variance model ([1,2] Markowitz, 1952 and 1959). At the end of the paper the obtained results are discussed and compared with non linear other different techniques. © 2011 Springer-Verlag.
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Bevilacqua, V., Pacelli, V., & Saladino, S. (2011). A novel multi objective genetic algorithm for the portfolio optimization. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 6838 LNCS, pp. 186–193). https://doi.org/10.1007/978-3-642-24728-6_25
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