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 max...