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A multi-objective evolutionary approach to the portfolio optimization problem

被引：0
|
作者：
Diosan, Laura [1 ]
机构：
[1] Univ Babes Bolyai, Fac Math & Comp Sci, Dept Comp Sci, R-3400 Cluj Napoca, Romania
来源：
INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE FOR MODELLING, CONTROL & AUTOMATION JOINTLY WITH INTERNATIONAL CONFERENCE ON INTELLIGENT AGENTS, WEB TECHNOLOGIES & INTERNET COMMERCE, VOL 2, PROCEEDINGS | 2006年
关键词：
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The portfolio optimization problem is a well-known difficult problem occurring in financial real world. The problem consists in choosing an optimal set of assets in order to minimize the risk and maximize the profit of the investment. A multiobjective approach to this problem is suggested in this paper. We use three well-known Evolutionary Algorithms (namely NSGA2, PESA and SPEA2) for solving the bi-objective portfolio optimization problem. Several numerical experiments are performed using real-world data. The results show that PESA outperforms NSGA2 and SPEA2 for the considered test cases.
引用
收藏
页码：183 / 187
页数：5
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