Portfolio analysis based on multi-objective optimization algorithm

DOI

10.2991/icmra-15.2015.157How to use a DOI?

Keywords

Portfolio; multi-objective optimization; NSGA-II

Abstract

Evolutionary algorithm in risk minimization and the expected return maximization of bi-objective for portfolio optimization applications has received widespread attention. Although the problem is a quadratic programming (QP) problem, the practical investment problems tend to make variables discontinuous and introduce other complexities. Under this circumstance, a normal QP solution is not always capable of finding a feasible solution. In this paper the NSGA-II algorithm is used to deal with the situation for classical QP unconventional methods. Results demonstrate that the evolutionary algorithm NSGA-II can find out the front of the conflict optimization problem which is difficult to achieve through other methods.

Copyright

© 2015, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Juan Chen
AU  - Mengla Ji
PY  - 2015/04
DA  - 2015/04
TI  - Portfolio analysis based on multi-objective optimization algorithm
BT  - Proceedings of the 3rd International Conference on Mechatronics, Robotics and Automation
PB  - Atlantis Press
SP  - 809
EP  - 812
SN  - 2352-538X
UR  - https://doi.org/10.2991/icmra-15.2015.157
DO  - 10.2991/icmra-15.2015.157
ID  - Chen2015/04
ER  -