Investment portfolio optimization using evolutionary strategies

• Main Author: Gao, Yuan
• Other Authors: Wang Lipo
• Format: Final Year Project
• Language: English
• Published: 2015
• Subjects: DRNTU::Engineering::Electrical and electronic engineering
• Online Access: http://hdl.handle.net/10356/63781
• Institution: Nanyang Technological University

This report presents the implementation of applying evolutionary strategy to find a set of optimized portfolios. With the capability of handling multiple objectives and constraints simultaneously, evolutionary strategy is an efficient algorithm in finding the weighted combinations of assets with maximal return at certain level of risk or equivalently minimal risk without compromising the return. In the project, the algorithm is implemented with MATLAB scripts. And the financial data analysis is done in Excel for comparison. The complete MATLAB program is tested on 30 selected stocks from Yahoo Finance over a period of 64 days. The MATLAB program is tested in different cases and the return of optimized portfolios in the output is compared with the initial portfolio, the efficient frontier and Dow Jones Industrial Average with Buy-and-Hold strategy.