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Comparing Discrete and Continuous Genotypes on the Constrained Portfolio Selection Problem

2004; Springer Science+Business Media; Linguagem: Inglês

10.1007/978-3-540-24855-2_131

1611-3349

Felix Streichert, Holger Ulmer, Andreas Zell,

Metaheuristic Optimization Algorithms Research

In financial engineering the problem of portfolio selection has drawn much attention in the last decades. But still unsolved problems remain, while on the one hand the type of model to use is still debated, even the most common models cannot be solved efficiently, if real world constraints are added. This is not only because the portfolio selection problem is multi-objective, but also because constraints may turn a formerly continuous problem into a discrete one. Therefore, we suggest to use a Multi-Objective Evolutionary Algorithm and compare discrete and continuous representations. To meet constraints we apply a repair mechanism and examine the impact of Lamarckism and the Baldwin Effect on several instances of the portfolio selection problem.