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http://hdl.handle.net/2080/1181
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DC Field | Value | Language |
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dc.contributor.author | Mishra, S K | - |
dc.contributor.author | Panda, G | - |
dc.contributor.author | Meher, S | - |
dc.contributor.author | Sahu, S S | - |
dc.date.accessioned | 2010-02-22T06:18:57Z | - |
dc.date.available | 2010-02-22T06:18:57Z | - |
dc.date.issued | 2009 | - |
dc.identifier.citation | International Journal of Recent Trends in Engineering, Vol 2, No. 5, November 2009 | en |
dc.identifier.uri | http://hdl.handle.net/2080/1181 | - |
dc.description.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 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.extent | 352326 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en | - |
dc.subject | Genetic algorithms | en |
dc.subject | multiobjective optimization | en |
dc.subject | Pareto-optimal solutions | en |
dc.subject | global optimization | en |
dc.subject | Crowding distance | en |
dc.title | Optimal Weighting of Assets using a Multi-objective Evolutionary Algorithm | en |
dc.type | Article | en |
Appears in Collections: | Journal Articles |
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File | Description | Size | Format | |
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sudhanshu2.pdf | 344.07 kB | Adobe PDF | View/Open |
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