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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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File | Size | Format | |
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A review on the current applications of genetic algorithms in.pdf | 846.65 kB | Adobe PDF | View/Open |
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