The portfolio optimizations are generally to determine the proportion-weighted combination in the static asset portfolio. It means that the assets included in the portfolio have already been given before the optimizing process. However, it is hard to determine the proportion-weighted combination for the optimal portfolio consisting of the static large number of assets. In order to avoid this problem, we propose a method that optimizes the portfolio consisting of not only the given static assets but also the dynamically selected assets in this paper. Our method consists of the following two steps, Steps A and B. Step A is to move the valuable assets expected to have good influence on the objective function from all assets into the portfolio through a GA. Step B is to remove the less-valuable assets expected to have not-so-good influence on the objective function from the portfolio through a GA. In the numerical experiments, we apply the proposed method to creating the index funds for the Tokyo Stock Exchange.
