Analysis of the Structure of Efficient Portfolios of Securities

Within the framework of this paper, the effectiveness of applying genetic algorithms for solving the problem of constructing investment portfolios of the optimal structure is investigated. The Monte Carlo method described above is used as a basic comparison approach. Thus, the object of the study is the structure of the optimal securities portfolios. The subject - the effectiveness of the application of simulation methods (Monte Carlo method) and evolutionary algorithms (genetic algorithm) for constructing portfolios of the optimal structure. The main goal of the work is to obtain empirical results that confirm or disprove the hypothesis that the evolutionary approaches to the solution of the stated problem are in practice effective in comparison with classical methods. Also, the output of the protection of the result of the work is the implementation of a software module (EFPO Framework - Efficient Frontier & Portfolio Optimization Framework) that automates the process of assessing investment portfolios based on these methods - the Monte Carlo method, genetic algorithms.