Portfolio analysis based on multi-objective optimization algorithm
Juan Chen, Mengla Ji
Available Online April 2015.
- https://doi.org/10.2991/icmra-15.2015.157How to use a DOI?
- Portfolio; multi-objective optimization; NSGA-II
- 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.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
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 - https://doi.org/10.2991/icmra-15.2015.157 ID - Chen2015/04 ER -