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|Title: ||Optimal Weighting of Assets using a Multi-objective Evolutionary Algorithm|
|Authors: ||Mishra, S K|
Sahu, S S
|Keywords: ||Genetic algorithms|
|Issue Date: ||2009 |
|Citation: ||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
evolutionary algorithms i.e. Pareto Envelope-based
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.|
|Appears in Collections:||Journal Articles|
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