Studies in Computational Intelligence, 2008, Volume 100/2008, 271-299, DOI: 10.1007/978-3-540-77477-8_15

Co-Evolutionary Multi-Agent System for Portfolio Optimization

Rafał Dreżewski and Leszek Siwik

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Abstract

Co-evolutionary techniques for evolutionary algorithms can enhance the adaptive capabilities of evolutionary algorithms and help maintain population diversity. In this chapter the concept and a formal model of an agent-based realization of a predator-prey coevolutionary algorithm is presented. The resulting system is applied to the problem of effective portfolio building and is compared to classical multi-objective evolutionary algorithms.

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