Searching co-integrated portfolios by a genetic algorithm

Searching for portfolios co-integrated with an index offers new opportunities in designing robust investment strategies. The problem of finding optimal index co-integrated portfolios that are maximally stationary is combinatorial. Indeed, given a basket of equities, the portfolio/index co-integration cannot be simply expressed in terms of equity/index co-integration. In this paper we investigate the application of simple genetic algorithms in finding optimal portfolios.