Evolutionary Stochastic Portfolio Optimization

In this chapter, the concept of evolutionary stochastic portfolio optimization is discussed. Selected theory from the fields of Stochastic Programming, evolutionary computation, portfolio optimization, as well as financial risk management is used to derive a generalized framework for computing optimal financial portfolios given an uncertain future using a probabilistic risk measure approach. A set of structurally different risk measures - Standard Deviation, Mean-absolute Downside Semi Deviation, Value-at-Risk, and Expected Shortfall which are commonly used for practical portfolio management purposes have been selected to substantiate the approach with numerical results.