https://github.com/ssk-14/portfolio-optimization
using Sharpe Ratio and Genetic Algorithms
https://github.com/ssk-14/portfolio-optimization
Last synced: about 2 months ago
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using Sharpe Ratio and Genetic Algorithms
- Host: GitHub
- URL: https://github.com/ssk-14/portfolio-optimization
- Owner: SSK-14
- Created: 2019-04-17T08:17:43.000Z (about 6 years ago)
- Default Branch: master
- Last Pushed: 2019-04-17T08:20:11.000Z (about 6 years ago)
- Last Synced: 2025-02-14T18:38:43.428Z (4 months ago)
- Language: R
- Size: 6.84 KB
- Stars: 1
- Watchers: 0
- Forks: 0
- Open Issues: 0
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Metadata Files:
- Readme: README.md
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README
# Portfolio-Optimization
using Sharpe Ratio and Genetic Algorithms
Portfolio Optimization is the process of selecting the best
portfolio(distribution the assets) among the others according to some
objective. The objective function here is the sharpe ratio which is expected
return divided by unit risk. We use the GA library which has genetic
algorithms in order to find the optimal portfolio. To use the GA library we
convert our constrained optimization problem to unconstrained optimization
problem by adding necessary penalties.