Title of article :
A portfoliooptimizationmodelwiththreeobjectivesanddiscretevariables
Author/Authors :
K.P.Anagnostopoulos، نويسنده , , G.Mamanis ، نويسنده ,
Issue Information :
ماهنامه با شماره پیاپی سال 2010
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
Journal title :
Computers and Operations Research
