i am currently doing a research on index tracking using Genetic Algorithm (replicating the index using a subset of the index members). This is a new topic to me.
I have been reading research paper on this topic but i could not really find a paper that walk through the process of crossover / mutation in the algorithm process.
Could anyone point me in the right direction or any website links to share ?
I know there are various methods to perform crossover but i am confused, for example , if there is a crossover of 2 parents , do we crossover the stocks or the stock weight of the newly formed portfolio ? because if we were to crossover the stock weight, the total weight of other current members in the newly formed portfolio might not add up to 100% etc.
Thank you in advanced.