Optimal portfolio selection using mean variance model based on genetic algorithm : an empirical study in a sample of Algerian stocks exchange

Abstract EN

In this paper we tend to select an optimal portfolio from its different stochastic models.

So the aim is to propose a new technique of optimization through the mean variance model based on genetic algorithm.

This latter is used to minimize portfolio risk and maximize portfolio return of Algerian stocks exchange in order to prove the performance of the proposed technique which is implemented in three firms stocks.

The findings of this research allowed us to validate the performance of proposed technique which is strongly linked to the selected objective function.