Portfolio Optimzation Using of Metods Multi Objective Genetic Algorithm and Goal Programming: An Application in BIST-30 [in Turkish]

Portfolio optimization problem has become one of the related fields of financial engineering since the studies of Markowitz about modern portfolio theory. Selection process of portfolio is carried out by looking at the return and risk relationship of stocks in portfolio in order to create the best portfolio. The main purpose of a financial manager is to ensure an efficient portfolio which provides minimum risk and maximum return. For this purpose, new models and computer technology continue at an accelerated rate. Genetic algorithms are from stochastic algorithm family based on the principles of natural selection. In this study, soft closing prices data of BIST 30 stocks between the periods, 2004-2013 are used. Eight different return and risk portfolios are created by applying goal programming and multi-purpose genetic algorithm methods with Markowitz mean-variance model. Variation coefficient which is a statistical unit of measure used for selection of portfolio is used. The results obtained from the study show that the best portfolios consist of number 7 portfolio for genetic algorithm and 5 stocks of this portfolio ; number 4 portfolio for quadratic goal programming method and 8 stocks of this portfolio. It is concluded that when compared in terms of optimization techniques, quadratic goal programming gives better results than genetic algorithm.