%0 Journal Article
	%A Jin Xu and  Albert Y.S. Lam and  Victor O.K. Li
	%D 2011
	%J International Journal of Chemical and Molecular Engineering
	%B World Academy of Science, Engineering and Technology
	%I Open Science Index 53, 2011
	%T Stock Portfolio Selection Using Chemical Reaction Optimization
	%U https://publications.waset.org/pdf/11346
	%V 53
	%X 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.
	%P 423 - 428