JPortfolio 1.0

JPortfolio is an optimization program based on multi-objective genetic algorithms. Program simply searchs for the optimum weight vector of stocks by maximizing the expected return and minimizing the risk of a portfolio. Instead of finding an optimum portfolio, JPortfolio finds more than one solitions on the Pareto frontier.The portfolios on the Pareto frontier dominates any other solutions but they don't dominate themselves. So, one can select a portfolio with a lower risk and higher return or higher risk and lower return from the Pareto frontier. JPortfolio is free to use, but if you use this program for academic purpose please reference as "Satman, M.H., JPortfolio 1.0, http://www.mhsatman.com/jportfolio". If you like JPortfolio and it satisfies your needs, please donate me with paypal. You can download JPortfolio 1.0 by clicking the link. After extracting the zip file program can be run by double clicking the .jar file in Windows systems. In linux and Windows one can run JPortfolio by typing # java -jar JPortfolio.jar or # java -cp JPortfolio.jar jportfolio.Main JPortfolio has a graphical user interface. There are three graphics objects in main screen. First thing is to load a file that contains the stocks returns.One can simply load a CSV (Comma seperated value) file by clicking File-Open Csv File menu.A CSV file must contain stock name in first row like "stock1" , "stock2" , "stock3" , "stock4" , "stock5 , .... , "stockN" Return values must be seperated by commas like headers. At the end, a CSV file must be like "stock1","stock2","stock3","stock4","stock5,....,"stockN" 0.33,0.01,-0.001,0.043,0.24,...,-0.007 0.12,0.14,0.179,-0.006,-0.02,...,0.084 After preparing the data file, user can start the optimization by clicking the Run-Calculate Optimum Portfolio menu. When searching process runs, one can see the one of the best weights and Pareto Frontier simultaneously. If there is no more change in last found Pareto Frontier, process can be stopped from Run-Stop Calculation menu. After stopping the process one can see the portfolios on the last found Pareto-Front by clicking Portfolios-Show Portfolios on Last Pareto Frontier menu. Mail to me for any suggestions about JPortfolio. mhsatman@yahoo.com Mehmet Hakan Satman, 2010 Click here to go home

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