Use of genetic algorithms for optimization of structure investment portfolio of securities
Journal Title: Економіка: реалії часу - Year 2017, Vol 1, Issue 29
Abstract
The use of genetic algorithms is shown as it applies to a calculation and optimization of investment brief-case of securities. The basic indexes of optimization are certain. The methods of gene theory are considered, including, such as a factor of heredity, and applicability of them to the algorithms of decision. As a mathematical method the method of the special selection, which is based on determination of great number of optimal portfolios, was used. The variant of development of algorithm is shown on the basis of modification of classic chart. Because basis the model of Markowitz serves as for comparison of applicability of genetic algorithms, the variant of calculation was shown for this model in the environment of MS Excel. The identical structures of brief-case of investments were examined for both variants. The results of analysis of efficiency of the chosen mechanism of optimization showed comparatively small deviations of realization of the examined methodology from a classic model. Variants over are brought, these different and so not alike methods are applicable in what cases.
Authors and Affiliations
Tatyana Budoratskaya, Nataliya Zhuravlyova
Keywords
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