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Title: Multi-objective Particle swarm optimization Approach to Portfolio Optimization
Authors: Mishra, S K
Panda, G
Meher, S
Keywords: Multiobjective optimization
Pareto optimal solutions
global optimization
crowding distance
portfolio optimization
Issue Date: 2009
Publisher: PSG College of Technology
Citation: World Congress on Nature and Biologically Inspired Computiing -NaBIC 2009, 9-11 Dec 2009, Coimbatore,India
Abstract: The problem of portfolio optimization is a standard problem in financial world and has received a lot of attention. Selecting 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 problem in which the percentage of each available asset is selected such a way that the total profit of the portfolio is maximized while total risk to be minimized, simultaneously. Four well-known multiobjective evolutionary algorithms i.e. Parallel Single Front Genetic Algorithm (PSFGA), Strength Pareto Evolutionary Algorithm 2(SPEA2), Nondominated Sorting Genetic Algorithm II( NSGA II) and Multi Objective Particle Swarm Optimization (MOPSO) 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 MOPSO outperforms other two for the considered test cases.
Description: Copyright belongs to proceedings publishers
Appears in Collections:Conference Papers

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