Title of article
A portfoliooptimizationmodelwiththreeobjectivesanddiscretevariables
Author/Authors
K.P.Anagnostopoulos، نويسنده , , G.Mamanis ، نويسنده ,
Issue Information
ماهنامه با شماره پیاپی سال 2010
Pages
13
From page
1285
To page
1297
Abstract
Weformulatetheportfolioselectionasatri-objectiveoptimizationproblemsoastofindtradeoffs
between risk,returnandthenumberofsecuritiesintheportfolio.Furthermore,quantityandclass
constraintsareintroducedintothemodelinordertolimittheproportionoftheportfolioinvestedin
assetswithcommoncharacteristicsandtoavoidverysmallholdings.Sincetheproposedportfolio
selectionmodelinvolvesmixedintegerdecisionvariablesandmultipleobjectivesfindingtheexact
efficientfrontiermaybeveryhard.Nevertheless,findingagoodapproximationoftheefficientsurface
which providestheinvestorwithadiversesetofportfolioscapturingallpossibletradeoffsbetweenthe
objectives withinlimitedcomputationaltimeisusuallyacceptable.Weexperimentwiththecurrent
state oftheartevolutionarymultiobjectiveoptimizationtechniques,namelytheNon-dominated
SortingGeneticAlgorithmII(NSGA-II),ParetoEnvelope-basedSelectionAlgorithm(PESA)andStrength
ParetoEvolutionaryAlgorithm2(SPEA2),forsolvingthemixed-integermultiobjectiveoptimization
problem andprovideaperformancecomparisonamongthemusingmetricsproposedbythe
community.
Keywords
NSGA-II , Class constraints , Evolutionary multiobjective optimization , PESA , Quantity constraints , Multiobjective portfolio selection , SPEA2
Journal title
Computers and Operations Research
Serial Year
2010
Journal title
Computers and Operations Research
Record number
927739
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