Optimum Portfolio Formation Using Genetic Algorithm
DOI:
https://doi.org/10.51173/jt.v5i3.799Keywords:
Optimal Portfolio Formation Using, Genetic AlgorithmAbstract
This study aims to address the problems of investment portfolio risk management based on diversification strategy sector, and mainly seeks to apply genetic algorithms (GA) to improve Markowitz model (return - risk). The portfolio optimization problem is a multi-objective problem that simultaneously aims to maximize the expected return of the portfolio and reduce the portfolio risk. The current study is a heuristic approach to the problem of portfolio optimization using genetic algorithms technique. The data of the current study is on a sample of stock prices between 01/01/2016-31/12/2020 in the Iraqi Stock Exchange, moreover, in an attempt to evaluate the effectiveness of genetic algorithms to improve the level of optimal risk.
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Copyright (c) 2023 Shaylan Kazem Souza, Shatha Abdel-Hussein Jabr, Ahmed Talib Abdel Amir, Bader S. S. Hamdan
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