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Mean-variance portfolio optimization using GA and PATTERNSEARCH

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Mean-variance portfolio optimization using GA and PATTERNSEARCH

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15 Oct 2007 (Updated )

(A not-too-serious experiment / code sample)

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Please see PORTOPTGADS, by following link 'Published m-files' below.

PS. The cool picture is a visualization of Rastrigin's function, taken from Genetic Algorithm and Direct Search Toolbox documentation.

Required Products Financial Toolbox
Global Optimization Toolbox
MATLAB release MATLAB 7.2 (R2006a)
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Comments and Ratings (4)
18 Jan 2011 Roji  
18 Jan 2011 Roji

Amazing work Dimitri. However, I am running it on 2010a and the loop from line 123 takes hours. Really, I cannot see the results. And the elapsed time should not be more than 360 seconds. Have you got a clue of why is it? Best Regards, and thank you very much for your work in this file.

16 Oct 2007 Dimitri Shvorob

Thanks, Marcelo! First, my apologies for the 'close all'; I ran the file in cell mode, where figures, though closed, remain in the HTML report. On GA, I have to confess, I myself would like to understand if there is an a priori reason for the underperformance. (I had had an uneducated notion of GA being suitable for combinatorial/sequencing tasks, but Mathworks' Rastrigin-function example gave me high hopes). For this problem, of course, any optimizer is unnecessary - just Google and code up the optimal-portfolio formula - but I will be extending the exercise with something more complicated ;)

15 Oct 2007 Marcelo Perlin

This is pretty neat Dimitri. Specially for teaching (that's probably will you did it).

But I have a question.
From the output, it seems to me that GA is performing worst than direct optimization, is that right ?
This sound intuitive because port optimization is a pretty simple mathematical problem and it seems to me that GA doesn't really fit the problem.

Anyway, just with direct opt, still a great submission.

Another thing, please delete the 'close all' in the end. I wanted to see the plots, not close them.

And yes, I also found the picture pretty cool :)

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