A novel evolutionary optimization algorithm based solution approach for portfolio selection problem

<span>The portfolio selection problem is one of the most common problems which drawn attention experts field in recent decades. The mean variance optimization aims to minimize (risk) and maximize expected return. In case linear constraints, can be solved by variants Markowitz. But many constraints such as cardinality, transaction cost, make so vital that conventional techniques are not good enough giving efficient solutions. Stochastic fractal search (SFS) a strong population based meta-heuristic approach has derived from evolutionary computation (EC). this paper, novel model using SFS been proposed Sharpe ratio. an approach. This algorithm models natural growth process theory. Performance evaluation <span>been conducted determine effectiveness making comparison with other state art <a name="_Hlk101168095"></a>genetic (GA) simulated</span> annealing (SA) on same objective environment. real datasets Bombay stock exchange (BSE) Sensex Indian have taken study. Study reveals superior performance than GA SA.</span>