Portfolio Optimization

In this project, we started with applying a mixed integer programming technique and later extended to 3 heuristic algorithms namely Genetic Algorithm,Tabu Search and Simulated Annealing. The three heuristic algorithms are more or less similar in terms of the percentage deviation, although genetic algorithm performed the better of the three. However the results for the mixed integer solver "intlinprog" using MATLAB was better in terms of accuracy. But the important point to be kept in mind is that the running time for the "intlinprog" solver is very large compared to the heuristic algorithms.