A Survey on Multiobjective Evolutionary Algorithms for the Solution of the Portfolio Optimization Problem and Other Finance and Economics Applications

2013 ◽  
Vol 17 (3) ◽  
pp. 321-344 ◽  
Author(s):  
Antonin Ponsich ◽  
Antonio Lopez Jaimes ◽  
Carlos A. Coello Coello
Keyword(s):  
Evolutionary Algorithms ◽  
Portfolio Optimization ◽  
Optimization Problem ◽  
Multiobjective Evolutionary Algorithms ◽  
Portfolio Optimization Problem

Efficient Portfolio Construction with the Use of Multiobjective Evolutionary Algorithms: Best Practices and Performance Metrics

2015 ◽  
Vol 14 (03) ◽  
pp. 535-564 ◽  
Author(s):  
K. Liagkouras ◽  
K. Metaxiotis
Keyword(s):  
Best Practices ◽  
Evolutionary Algorithms ◽  
Portfolio Optimization ◽  
Optimization Problem ◽  
Performance Metrics ◽  
State Of The Art ◽  
The State ◽  
Multiobjective Evolutionary Algorithms ◽  
Wide Range ◽  
Portfolio Optimization Problem

This paper provides a systematic study of the technologies and algorithms associated with the implementation of multiobjective evolutionary algorithms (MOEAs) for the solution of the portfolio optimization problem. Based on the examination of the state-of-the art we provide the best practices for dealing with the complexities of the constrained portfolio optimization problem (CPOP). In particular, rigorous algorithmic and technical treatment is provided for the efficient incorporation of a wide range of real-world constraints into the MOEAs. Moreover, we address special configuration issues related to the application of MOEAs for solving the CPOP. Finally, by examining the state-of-the-art we identify the most appropriate performance metrics for the evaluation of the relevant results from the implementation of the MOEAs to the solution of the CPOP.

scholarly journals An Improved MOEA/D Based on Reference Distance for Software Project Portfolio Optimization

Complexity ◽  
2018 ◽  
Vol 2018 ◽  
pp. 1-16 ◽  
Author(s):  
Jing Xiao ◽  
Jing-Jing Li ◽  
Xi-Xi Hong ◽  
Min-Mei Huang ◽  
Xiao-Min Hu ◽  
...  
Keyword(s):  
Genetic Algorithm ◽  
Evolutionary Algorithms ◽  
Portfolio Optimization ◽  
Optimization Problem ◽  
Experimental Comparison ◽  
Software Project ◽  
Project Portfolio ◽  
Multiobjective Evolutionary Algorithms ◽  
Reference Distance ◽  
Nondominated Sorting

As it is becoming extremely competitive in software industry, large software companies have to select their project portfolio to gain maximum return with limited resources under many constraints. Project portfolio optimization using multiobjective evolutionary algorithms is promising because they can provide solutions on the Pareto-optimal front that are difficult to be obtained by manual approaches. In this paper, we propose an improved MOEA/D (multiobjective evolutionary algorithm based on decomposition) based on reference distance (MOEA/D_RD) to solve the software project portfolio optimization problems with optimizing 2, 3, and 4 objectives. MOEA/D_RD replaces solutions based on reference distance during evolution process. Experimental comparison and analysis are performed among MOEA/D_RD and several state-of-the-art multiobjective evolutionary algorithms, that is, MOEA/D, nondominated sorting genetic algorithm II (NSGA2), and nondominated sorting genetic algorithm III (NSGA3). The results show that MOEA/D_RD and NSGA2 can solve the software project portfolio optimization problem more effectively. For 4-objective optimization problem, MOEA/D_RD is the most efficient algorithm compared with MOEA/D, NSGA2, and NSGA3 in terms of coverage, distribution, and stability of solutions.

scholarly journals Multi-Swarm Multi-Objective Optimizer Based on p-Optimality Criteria for Multi-Objective Portfolio Management

2019 ◽  
Vol 2019 ◽  
pp. 1-22 ◽  
Author(s):  
Yabao Hu ◽  
Hanning Chen ◽  
Maowei He ◽  
Liling Sun ◽  
Rui Liu ◽  
...  
Keyword(s):  
Evolutionary Algorithms ◽  
Portfolio Optimization ◽  
Portfolio Management ◽  
Asset Allocation ◽  
Optimization Problem ◽  
Optimality Criteria ◽  
Investment Fund ◽  
Multi Objective ◽  
Portfolio Optimization Problem ◽  
Investment Portfolio Optimization

Portfolio management is an important technology for reasonable investment, fund management, optimal asset allocation, and effective investment. Portfolio optimization problem (POP) has been recognized as an NP-hard problem involving numerous objectives as well as constraints. Applications of evolutionary algorithms and swarm intelligence optimizers for resolving multi-objective POP (MOPOP) have attracted considerable attention of researchers, yet their solutions usually convert MOPOP to POP by means of weighted coefficient method. In this paper, a multi-swarm multi-objective optimizer based on p-optimality criteria called p-MSMOEAs is proposed that tries to find all the Pareto optimal solutions by optimizing all objectives at the same time, rather than through the above transforming method. The proposed p-MSMOEAs extended original multiple objective evolutionary algorithms (MOEAs) to cooperative mode through combining p-optimality criteria and multi-swarm strategy. Comparative experiments of p-MSMOEAs and several MOEAs have been performed on six mathematical benchmark functions and two portfolio instances. Simulation results indicate that p-MSMOEAs are superior for portfolio optimization problem to MOEAs when it comes to optimization accuracy as well as computation robustness.

scholarly journals Modeling and Optimizing the Multi-Objective Portfolio Optimization Problem with Trapezoidal Fuzzy Parameters

2021 ◽  
Vol 26 (2) ◽  
pp. 36
Author(s):  
Alejandro Estrada-Padilla ◽  
Daniela Lopez-Garcia ◽  
Claudia Gómez-Santillán ◽  
Héctor Joaquín Fraire-Huacuja ◽  
Laura Cruz-Reyes ◽  
...  
Keyword(s):  
Steady State ◽  
Portfolio Optimization ◽  
Optimization Problem ◽  
Solution Process ◽  
Density Estimator ◽  
Nsga Ii ◽  
Spatial Spread ◽  
Multi Objective ◽  
Significant Difference ◽  
Portfolio Optimization Problem

A common issue in the Multi-Objective Portfolio Optimization Problem (MOPOP) is the presence of uncertainty that affects individual decisions, e.g., variations on resources or benefits of projects. Fuzzy numbers are successful in dealing with imprecise numerical quantities, and they found numerous applications in optimization. However, so far, they have not been used to tackle uncertainty in MOPOP. Hence, this work proposes to tackle MOPOP’s uncertainty with a new optimization model based on fuzzy trapezoidal parameters. Additionally, it proposes three novel steady-state algorithms as the model’s solution process. One approach integrates the Fuzzy Adaptive Multi-objective Evolutionary (FAME) methodology; the other two apply the Non-Dominated Genetic Algorithm (NSGA-II) methodology. One steady-state algorithm uses the Spatial Spread Deviation as a density estimator to improve the Pareto fronts’ distribution. This research work’s final contribution is developing a new defuzzification mapping that allows measuring algorithms’ performance using widely known metrics. The results show a significant difference in performance favoring the proposed steady-state algorithm based on the FAME methodology.

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