Genetic relation algorithm with guided mutation for the large-scale portfolio optimization

doi:10.1016/j.eswa.2010.08.120

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Genetic relation algorithm with guided mutation for the large-scale portfolio optimization

2011-04-01

PRE

Yan Chen *

Shingo Mabu

Kotaro Hirasawa

DOI：10.1016/j.eswa.2010.08.120

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Abstract

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The survey of the relevant literatures shows that there have been many studies for portfolio optimization problems and that the number of studies which have investigated the optimum portfolio using evolutionary computation is quite large. But, almost none of these studies deals with genetic relation algorithm (GRA), where GRA is one of the evolutionary methods with graph structure. This study presents an approach to large-scale portfolio optimization problems using GRA with a new operator, called guided mutation. In order to pick up the most efficient portfolio, GRA considers the correlation coefficient between stock brands as strength, which indicates the relation between nodes in each individual of GRA. Guided mutation generates offspring according to the average value of correlation coefficients in each individual, which means to enhance the exploitation ability of evolution of GRA. A genetic relation algorithm with guided mutation (CRA/G) for the portfolio optimization is proposed in this paper. Genetic network programming (GNP), which was proposed in our previous research, is used to validate the performance of the portfolio generated with CRA/G. The results show that CRA/G approach is successful in portfolio optimization. (C) 2010 Elsevier Ltd. All rights reserved.

Keywords:

Portfolio optimization

Genetic relation algorithm

Guided mutation

Genetic network programming

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