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dc.contributor.authorMishra, S K-
dc.contributor.authorPanda, G-
dc.contributor.authorMeher, S-
dc.contributor.authorSahu, S S-
dc.identifier.citationInternational Journal of Recent Trends in Engineering, Vol 2, No. 5, November 2009en
dc.description.abstractAbstract— 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.en
dc.format.extent352326 bytes-
dc.subjectGenetic algorithmsen
dc.subjectmultiobjective optimizationen
dc.subjectPareto-optimal solutionsen
dc.subjectglobal optimizationen
dc.subjectCrowding distanceen
dc.titleOptimal Weighting of Assets using a Multi-objective Evolutionary Algorithmen
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