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Title: Portfolio optimization using genetic algorithm
Authors: Gnanasambandapillai Vikkitharan.
Keywords: DRNTU::Engineering::Electrical and electronic engineering::Electronic circuits
Issue Date: 2007
Abstract: Portfolio optimization is a multi-objective, non-linear optimization problem for maximum return with minimum risk. It normally has a huge number of input variables (assets) and numerous local optima; Therefore mathematical derivatives based optimization is very difficult or impossible to be applied. Genetic algorithms (GA) have been used for this kind of problem, as it is good to deal with optimization involving a large number of inputs and non-linear multi-model objectives. But performance of GA optimization degrades when the number of inputs of the problem increases.
Description: 65 p.
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:EEE Theses

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