Ortalama-varyans portföy optimizasyonunda genetik algoritma uygulamaları üzerine bir literatür araştırması

Year 2017, Volume: 23 Issue: 4, 470 - 476, 18.08.2017

Can Berk Kalaycı , Ökkeş Ertenlice Hasan Akyer , Hakan Aygören

Abstract

Markowitz’in
ortaya koymuş olduğu ortalama-varyans portföy optimizasyonu, portföy yönetimi
problemine temel bir cevap vermiştir. Bu model, getirinin en büyüklenmesi ve
riskin en küçüklenmesi gibi iki çakışan amaç arasındaki en iyi ödünleşimi ile
bir etkin sınır aramaktadır. Bir etkin sınır belirleme probleminin NP-Zor
olduğu bilinmektedir. Problemin karmaşıklığı nedeniyle, giderek artan sayıda
araştırmacı bu problemi çözmek için genetik algoritmaları kullanmışlardır. Bu
çalışmada, mevcut literatürdeki genetik algoritmaların ortalama-varyans portföy
optimizasyonu uygulamaları incelenmiştir. Çalışılmış olan problemlerin ana
özellikleri ve önerilen genetik algoritma karakteristikleri özetlenmiştir.

Keywords

Portföy yönetimi ve optimizasyonu, Ortalama-varyans modeli, Evrimsel algoritmalar, Genetik algoritma

A review on the current applications of genetic algorithms in mean-variance portfolio optimization

Abstract

Mean-variance
portfolio optimization model, introduced by Markowitz, provides a fundamental
answer to the problem of portfolio management. This model seeks an efficient
frontier with the best trade-offs between two conflicting objectives of
maximizing return and minimizing risk. The problem of determining an efficient
frontier is known to be NP-hard. Due to the complexity of the problem, genetic
algorithms have been widely employed by a growing number of researchers to
solve this problem. In this study, a literature review of genetic algorithms
implementations on mean-variance portfolio optimization is examined from the
recent published literature. Main specifications of the problems studied and
the specifications of suggested genetic algorithms have been summarized.

Keywords

Portfolio management and optimization, Mean-variance model, Evolutionary algorithms, Genetic algorithm

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