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Please use this identifier to cite or link to this item: http://hdl.handle.net/2080/1181

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contributor.authorMishra, S K-
contributor.authorPanda, G-
contributor.authorMeher, S-
contributor.authorSahu, S S-
date.accessioned2010-02-22T06:18:57Z-
date.available2010-02-22T06:18:57Z-
date.issued2009-
identifier.citationInternational Journal of Recent Trends in Engineering, Vol 2, No. 5, November 2009en
identifier.urihttp://hdl.handle.net/2080/1181-
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
format.extent352326 bytes-
format.mimetypeapplication/pdf-
language.isoen-
subjectGenetic algorithmsen
subjectmultiobjective optimizationen
subjectPareto-optimal solutionsen
subjectglobal optimizationen
subjectCrowding distanceen
titleOptimal Weighting of Assets using a Multi-objective Evolutionary Algorithmen
typeArticleen
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