Please use this identifier to cite or link to this item: https://hdl.handle.net/11499/23974
Title: A review on the current applications of genetic algorithms in mean-variance portfolio optimization
Other Titles: Ortalama-varyans portföy optimizasyonunda genetik algoritma uygulamaları üzerine bir literatür araştırması
Authors: Kalaycı, Can Berk
Ertenlice, Ökkeş
Akyer, Hasan
Aygören, Hakan
Keywords: Portfolio management and optimization; Mean-variance model; Evolutionary
algorithms; Genetic algorithm
Publisher: PAMUKKALE UNIV
Abstract: Mean-variance portfolio optimization model, introduced by Markowitz, provides a fundamental answer to the problem of portfolio management. This model seeks an efficient frontier with the best trade-offs between two conflicting objectives of maximizing return and minimizing risk. The problem of determining an efficient frontier is known to be NP-hard. Due to the complexity of the problem, genetic algorithms have been widely employed by a growing number of researchers to solve this problem. In this study, a literature review of genetic algorithms implementations on mean-variance portfolio optimization is examined from the recent published literature. Main specifications of the problems studied and the specifications of suggested genetic algorithms have been summarized.
URI: https://hdl.handle.net/11499/23974
https://doi.org/10.5505/pajes.2017.37132
ISSN: 1300-7009
Appears in Collections:İktisadi ve İdari Bilimler Fakültesi Koleksiyonu
Mühendislik Fakültesi Koleksiyonu
TR Dizin İndeksli Yayınlar Koleksiyonu / TR Dizin Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

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