Optimal Portfolio Selection with Genetic Algorithm: An Example of BIST - 30

• Main Authors: Feyyaz Zeren, Mehmet Bayğın
• Format: Article
• Language: English
• Published: Isarder 2015-03-01
• Series: İşletme Araştırmaları Dergisi
• Subjects: Genetic Algorithms; Portfolio Selection; BIST - 30; Risk; Return
• Online Access: http://isarder.org/isardercom/2015vol7issue1/vol.7_issue.1_article016_full_text.pdf

One of the main problem is an optimal portfolio selection in the financial investment decisions. In this context, the determining of optimal portfolio by using which method is a significant for researcher. On the other hand, Genetic algorithm is optimization technical to select optimal portfolio when there are the plurality of cluster solutions. In this study, it is aimed to determine of optimal portfolio for Istanbul Stock Market 30 Indices. When Lambda value (λ) is 0.20, optimal portfolio selection is consist of 18 shares According to the application findings which is used data spanned from January-2010 and June-2013. When a dominance of risk factor increases, performance of algorithm decreases and optimal portfolio selection is consist of all BIST-30 Indices.