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A review on the current applications of genetic algorithms in mean-variance portfolio optimization
2017
Pamukkale University Journal of Engineering Sciences
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
doi:10.5505/pajes.2017.37132
fatcat:m6xi6v6xarcavjbxsrlc7nhszi