Investment portfolio optimization using evolutionary strategies

• Main Author: Zou, Menglin
• Other Authors: Wang Lipo
• Format: Final Year Project
• Language: English
• Published: 2014
• Subjects: DRNTU::Engineering::Mathematics and analysis::Simulations
• Online Access: http://hdl.handle.net/10356/61571
• Institution: Nanyang Technological University

A successful investment will be based on two factors, securities analysis and portfolio management. Researches showed that most markets are efficient markets, which means on a well-developed securities exchange, asset prices accurately reflect the trade-off between the relative risk and potential return associated with the security. Thus, the chance of picking an undervalued securities is relatively low and a properly constructed portfolio with optimal level of expected return and the least possible risk would be more desirable in the current context. In this project, Evolutionary strategies (ES) is for the multi-objective optimization is used for purpose of investment portfolio optimization. The main advantage of the evolution strategy is to allow to handle simultaneously multiple objectives and constraints, and to achieve the good approximation of the complete pareto-optimal set. The simulation was carried out in the MATLAB environment.