Posts Tagged ‘Genetic Algorithm’

PORTFOLIO OPTIMIZATION IN SELECTED TEHRAN STOCK EXCHANGE COMPANIES (SYMBIOTIC ORGANISMS SEARCH AND MEMETIC ALGORITHMS)

Majid FESHARI

Assistant Professor of Kharazmi University (Corresponding Author)

majid.feshari@gmail.com

Reza NAZARI

Assistant Professor of Islamic Azad University, Tabriz Branch

rezanazariof@yahoo.com

Abstract

The optimal portfolio selection problem has always been the most important issue in the modern financial literature. So, in this paper, we had shown that how an investment with n risky share can achieve the certain profits with less risk that spread between stocks. Such a portfolio, it is called an optimal portfolio and it is necessary to find solving the optimization problem. Hence, meta-heuristic algorithms such as Symbiotic Organism Search (SOS) and the Memetic Algorithm which is combination of the Genetic and SOS algorithms have been utilized to solve portfolio optimization in 23 selected Tehran stock exchange market during the period of 2009-2017. The results of optimization indicated that at the same precision. Memetic algorithm despite its time consuming has better performance than other algorithms. Moreover, Genetic algorithm despite its performance has the lowest time consuming. Hence, the main policy implication policy of this study is that the investors and financial analyzers should adopt the Memetic method as a proper and optimal meta-heuristic algorithm for minimizing the risk and maximize the return investment in portfolio.

Keywords: Portfolio Optimization Problem, Sharpe ratio, Genetic Algorithm, Symbiotic Organism Search Algorithm, Memetic Algorithm

JEL classification: C22, G35, G43
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