Memetic Algorithmsを用いたポートフォリオ最適化

抄録

We present the use of Memetic Algorithms for the optimization of Financial Portfolios. Memetic Algorithms are hybrid algorithm where the evolution of individuals lead to the improvement of the portfolio structure, and local optimization rules contribute to the optimization of the weights of the financial assets. We compare this method with older GA-based methods for optimizing portfolios, and observe a noticeable improvement.