Application of Genetic Algorithm in Index Portfolio Selection

his paper introduces a genetic algorithm and its application in index tracking, illustrating the meanings of chromosome, the fitness value parameter in the world of stock market, and designs anapplication scheme of portfolio sel ection, crossbreed, and variation operator. With this algorithm, the authors set up an indexed portfolio by employing Shangzheng180 as benchmark index published by Shanghai Stock Exchange. The experiential study shows that the proposed algo rithm can be used to optimally track the benchmark index of Shangzheng180.