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Mean-variance portfolio optimization using GA and PATTERNSEARCH

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Mean-variance portfolio optimization using GA and PATTERNSEARCH



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)
MATLAB Search Path
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Comments and Ratings (4)
18 Jan 2011 Roji

Roji (view profile)

18 Jan 2011 Roji

Roji (view profile)

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.

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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 ;)

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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 :)

04 Apr 2016 1.0


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