Quality Analysis of Solution Found
In order to estimate the quality of the GA tracking portfolio
found, we performed several experiments. First of all, we
measured the above-described out-of-sample performance.
Figure 1 shows the out-of-sample performance compared to
the performance of the true AEX-index. We observe that
initially, both performances are almost equal while gradually
small differences emerge due to, among other things, changes
in the weights of the shares composing the AEX-index.
We further note that the up and down movements of both
portfolios are quite similar.