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Optimal Weighting of Assets using a Multi-objective Evolutionary Algorithm
| Content Provider | NIT Rourkela |
|---|---|
| Author | Mishra, S. K. Panda, G. Meher, S. Sahu, S. S. |
| Description | International Journal of Recent Trends in Engineering, Vol 2, No. 5, November 2009 |
| Abstract | Abstract— The problem of portfolio optimization is a well-known standard problem in financial world. It has received a lot of attention among many researchers. Choosing an optimal weighting of assets is a critical issue for which the decision maker takes several aspects into consideration. In this paper we consider a multi-objective portfolio assets selection problem where the total profit of is maximized while total risk to be minimized simultaneously. Three evolutionary algorithms i.e. Pareto Envelope-based Algorithm(PESA), Evolutionary Algorithm 2(SPEA2), Nondominated Sorting Genetic Algorithm II( NSGA II) for solving the bi-objective portfolio optimization problem has been applied. Performance comparison carried out in this paper by performing different numerical experiments. These experiments are performed using real-world data. The results show that NSGA-II outperforms other two for the considered test cases. |
| File Size | 352326 |
| File Format | |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Genetic algorithms Multiobjective optimization Pareto-optimal solutions Global optimization Crowding distance |
| Content Type | Text |
| Resource Type | Article |
