%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