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Genetic Algorithm Optimisation for Finance and Investment

Author

Listed:
  • Robert Pereira

    (Department of Economics and Finance, La Trobe University)

Abstract

This paper provides an introduction to the use of genetic algo- rithms for financial optimisation. The aim is to give the reader a basic understanding of the computational aspects of these algorithms and how they can be applied to decision making in finance and investment. Genetic algorithms are especially suitable for complex problems char- actised by large solution spaces, multiple optima, non differentiability of the objective function, and other irregular features. The mechanics of constructing and using a genetic algorithm for optimisation are illustrated through a simple example.

Suggested Citation

  • Robert Pereira, 2000. "Genetic Algorithm Optimisation for Finance and Investment," Working Papers 2000.02, School of Economics, La Trobe University.
    • Handle: RePEc:ltr:wpaper:2000.02
    as

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    File URL: http://www.latrobe.edu.au/__data/assets/pdf_file/0006/130857/2000.02.pdf
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    Cited by:

    1. Chmielewska Aneta & Adamiczka Jerzy & Romanowski Michał, 2020. "Genetic Algorithm as Automated Valuation Model Component in Real Estate Investment Decisions System," Real Estate Management and Valuation, Sciendo, vol. 28(4), pages 1-14, December.
    2. Slimane Sefiane & Mohamed Benbouziane, 2012. "Portfolio Selection Using Genetic Algorithm," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 2(4), pages 1-9.
    3. Marek Walacik & Aneta Chmielewska, 2024. "Real Estate Industry Sustainable Solution (Environmental, Social, and Governance) Significance Assessment—AI-Powered Algorithm Implementation," Sustainability, MDPI, vol. 16(3), pages 1-20, January.
    4. Imen Bedoui-Belghith & Slaheddine Hallara & Faouzi Jilani, 2023. "Crisis transmission degree measurement under crisis propagation model," SN Business & Economics, Springer, vol. 3(1), pages 1-27, January.
    5. Sinha, Pankaj & Chandwani, Abhishek & Sinha, Tanmay, 2013. "Algorithm of construction of Optimum Portfolio of stocks using Genetic Algorithm," MPRA Paper 48204, University Library of Munich, Germany.

    More about this item

    Keywords

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    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • G0 - Financial Economics - - General

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