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Why use a genetic algorithm?

April 26, 2017ALGORITHM genetic

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Why use a genetic algorithm?

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Primarily so that the real problem of interest is solved. The approach in most other portfolio optimization software is to change the problem so that it fits the optimizer. A portfolio optimization program based on a genetic algorithm easily allows multiple integer constraints, nonlinear trading costs and modifications to the utility. The ability to generate random portfolios is a beneficial side effect of using a genetic algorithm.