Solving portfolio optimization problem through differential evolution
Portfolio theories best describes the asset management. Several investment offers are available to a customer and the task is to select the most appropriate option to gain the maximum financial benefit. The investor requires a thorough comparative study to decide the best possible option where the return is maximum and the risk is minimum. Portfolio optimization can help in the process of decision making by bringing out the selected options beneficial for the investor. In this paper we have considered the Markovitz's Mean Variance portfolio optimization model and the data is considered from National Stock Exchange (NSE) Mumbai. Differential Evolution, a population based metaheuristics is applied for obtaining the optimal portfolio.
2016 International Conference on Electrical, Electronics, and Optimization Techniques (ICEEOT)