Evolution Strategy in Portfolio Optimization

Jerzy J. Korczak, Piotr Lipinski, Patrick Roger

Abstract: In this paper an evolutionary algorithm to optimize a stock portfolio is presented. The method, based on Evolution Strategies, uses artificial trading experts discovered by a genetic algorithm. This approach is tested on a sample of stocks taken from the French market. Results obtained are compared with the Buy-and-Hold strategy and a stock index. Presented research extends evolutionary methods on financial economics worked out earlier for stock trading.