Portfolio cardinality constraint in a genetic algorithm

2015 9 16
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Hello,
does anybody have a good way to include a portfolio cardinality constraint in an elegant way in a genetic algorithm? I want to form a portfolio of exactly 50 stocks out of a set of 300 stocks, each of those in the portfolio should have a weighting between 1% and 3% and the others need to be forced to zero.
Happy to see your ideas :-)

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Alan Weiss
Alan Weiss 2015-9-16

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Well, not in a genetic algorithm, but you might find this example using MILP to approximate MIQP to be relevant.
Alan Weiss
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Christian Schwehm
Christian Schwehm 2015-9-16
Hi Alan,
cheers for the hint, but I cannot really use a MILP, as I want to run the heuristic with a rather complex fitness function. I could include a penalty term for any deviations from the "correct" cardinality, but the GA would need to do a whole lot of "useless" computations, that could be saved, if it were possible to restrict the number of weights>0 to a fixed number...
Any ideas?
Christian Schwehm

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