A Comparative Analysis of Genetic Algorithms and NSGA-II on the Portfolio Optimisation Problem

This paper contains a comparison between a Genetic Algorithm (GA) and a Non-dominated Sorting Genetic Algorithm II (NSGA-II) on the Portfolio Optimisation Problem, based on the Modern Portfolio Theory proposed by Markowitz (1952, 1956). We use the real-world data of the S&P 500 index (quarterly returns of top 200 stocks from 2019 to 2024, and top 442 stocks from 2004 to 2016), and show that both algorithms can yield returns above the index, in mixed bull and bear market conditions. N-point Crossover accelerates algorithm convergence, and by using the Sharpe Ratio, the NSGA-II outperformed most models based on Stochastic Dominance we tested, according to the metrics in Bruni el. al. (2017).

Authors

Institutions

Publication Details

Published
2024-09-16
DOI
https://doi.org/10.1109/synasc65383.2024.00041
Citations
1
Primary Topic
Risk and Portfolio Optimization
Type
article
Field-Weighted Citation Impact
0.49
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

A Comparative Analysis of Genetic Algorithms and NSGA-II on the Portfolio Optimisation Problem

Eugen Nicolae Croitoru, Tudor-Florentin Ilade
1 citations
Risk and Portfolio Optimization
0.49
article

A Comparative Analysis of Genetic Algorithms and NSGA-II on the Portfolio Optimisation Problem

Eugen Nicolae Croitoru, Tudor-Florentin Ilade
article en
1 citations

Abstract

This paper contains a comparison between a Genetic Algorithm (GA) and a Non-dominated Sorting Genetic Algorithm II (NSGA-II) on the Portfolio Optimisation Problem, based on the Modern Portfolio Theory proposed by Markowitz (1952, 1956). We use the real-world data of the S&P 500 index (quarterly returns of top 200 stocks from 2019 to 2024, and top 442 stocks from 2004 to 2016), and show that both algorithms can yield returns above the index, in mixed bull and bear market conditions. N-point Crossover accelerates algorithm convergence, and by using the Sharpe Ratio, the NSGA-II outperformed most models based on Stochastic Dominance we tested, according to the metrics in Bruni el. al. (2017).

Alexandru Ioan Cuza University (RO)
Openalex Percentile: Top 27%
Risk and Portfolio Optimization
0.49
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.