Evolutionary Strategies for Building Risk-Optimal Portfolios

  • Piotr Lipinski
Part of the Studies in Computational Intelligence book series (SCI, volume 100)


This chapter describes an evolutionary approach to portfolio optimization. It rejects some assumptions from classic models, introduces alternative risk measures and proposes three evolutionary algorithms to solve the optimization problem. In order to validate the approach proposed, results of a number of experiments using data from the Paris Stock Exchange are presented.


Evolutionary Algorithm Risk Measure Return Rate Portfolio Optimization Downside Risk 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer-Verlag Berlin Heidelberg 2008

Authors and Affiliations

  • Piotr Lipinski
    • 1
  1. 1.Institute of Computer ScienceUniversity of WroclawPoland

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