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Comparing Discrete and Continuous Genotypes on the Constrained Portfolio Selection Problem
Felix Streichert, Holger Ulmer, and Andreas Zell
Centre for Bioinformatics Tübingen (ZBIT), University of Tübingen, Sand 1, 72076 Tübingen, Germanystreiche@informatik.uni-tuebingen.de
ulmerh@informatik.uni-tuebingen.de
zell@informatik.uni-tuebingen.de
http://www-ra.informatik.uni-tuebingen.de/
Abstract. In financial engineering the problem of portfolio selection has drawn much attention in the last decades. But still unsolved problems remain, while on the one hand the type of model to use is still debated, even the most common models cannot be solved efficiently, if real world constraints are added. This is not only because the portfolio selection problem is multi-objective, but also because constraints may turn a formerly continuous problem into a discrete one. Therefore, we suggest to use a Multi-Objective Evolutionary Algorithm and compare discrete and continuous representations. To meet constraints we apply a repair mechanism and examine the impact of Lamarckism and the Baldwin Effect on several instances of the portfolio selection problem.
LNCS 3103, p. 1239 ff.
lncs@springer.de
© Springer-Verlag Berlin Heidelberg 2004