@article{(Open Science Index):https://publications.waset.org/pdf/11346,
	  title     = {Stock Portfolio Selection Using Chemical Reaction Optimization},
	  author    = {Jin Xu and  Albert Y.S. Lam and  Victor O.K. Li},
	  country	= {},
	  institution	= {},
	  abstract     = {Stock portfolio selection is a classic problem in finance,
and it involves deciding how to allocate an institution-s or an individual-s
wealth to a number of stocks, with certain investment objectives
(return and risk). In this paper, we adopt the classical Markowitz
mean-variance model and consider an additional common realistic
constraint, namely, the cardinality constraint. Thus, stock portfolio
optimization becomes a mixed-integer quadratic programming problem
and it is difficult to be solved by exact optimization algorithms.
Chemical Reaction Optimization (CRO), which mimics the molecular
interactions in a chemical reaction process, is a population-based
metaheuristic method. Two different types of CRO, named canonical
CRO and Super Molecule-based CRO (S-CRO), are proposed to solve
the stock portfolio selection problem. We test both canonical CRO
and S-CRO on a benchmark and compare their performance under
two criteria: Markowitz efficient frontier (Pareto frontier) and Sharpe
ratio. Computational experiments suggest that S-CRO is promising
in handling the stock portfolio optimization problem.},
	    journal   = {International Journal of Chemical and Molecular Engineering},
	  volume    = {5},
	  number    = {5},
	  year      = {2011},
	  pages     = {423 - 428},
	  ee        = {https://publications.waset.org/pdf/11346},
	  url   	= {https://publications.waset.org/vol/53},
	  bibsource = {https://publications.waset.org/},
	  issn  	= {eISSN: 1307-6892},
	  publisher = {World Academy of Science, Engineering and Technology},
	  index 	= {Open Science Index 53, 2011},