Abstract
In this paper an evolutionary algorithm to optimize a stock portfolio is presented. The method, based on Evolution Strategies, uses artificial trading experts discovered by a genetic algorithm. This approach is tested on a sample of stocks taken from the French market. Results obtained are compared with the Buy-and-Hold strategy and a stock index. Presented research extends evolutionary methods on financial economics worked out earlier for stock trading.
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Korczak, J.J., Lipiński, P., Roger, P. (2002). Evolution Strategy in Portfolio Optimization. In: Collet, P., Fonlupt, C., Hao, JK., Lutton, E., Schoenauer, M. (eds) Artificial Evolution. EA 2001. Lecture Notes in Computer Science, vol 2310. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-46033-0_13
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DOI: https://doi.org/10.1007/3-540-46033-0_13
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