Portfolio optimization using multi-objective genetic algorithms

2007 IEEE Congress on Evolutionary Computation, CEC 2007

Volumn , Issue , 2007, Pages 516-523

  Skolpadungket, Prisadarng ^a   Dahal, Keshav ^a   Harnpornchai, Napat ^b  

^a UNIVERSITY OF BRADFORD   (United Kingdom)

^b CHIANG MAI UNIVERSITY   (Thailand)

Author keywords

Fuzzy VEGA; Investment management; Multiobjective genetic algorithms; Portfolio optimisation; SPEA2; Strength pareto evolutionary algorithm; Vector evaluated genetic algorithm; VEGA

Indexed keywords

PORTFOLIO OPTIMIZATION; REALISTIC CONSTRAINTS; VECTOR EVALUATED GENETIC ALGORITHM (VEGA);

CONSTRAINT THEORY; GENETIC ALGORITHMS; PROBLEM SOLVING; RISK ANALYSIS; VECTORS;

PARETO PRINCIPLE;

EID: 79955294923     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/CEC.2007.4424514     Document Type: Conference Paper

References (21)

1. Y. Crama, and M. Schyns,"Simulated Annealing for Complex Portfolio Selection Problems," European Journal of Operational Research, v. 150 2003 pp. 546-571
2. D. Maringer, Portfolio Management with Heuristic Optimization. - Advanced in Computational Management Science Series Vol. 8, Springer, 2005
3. C.Blum and A. Roli., "Metaheuristic in Combinatorial Optimization: Overview and Conceptual Comparison". Computing Surveys, v. 35, 2003, pp. 268-308
4. F. R. Busetti, "Metaheuristic Approaches to Realistic Portfolio Optimisation," MSc thesis in Operation Research, University of South Africa, 2000Available: http://arxiv.org/ftp/cond-mat/papers/0501/0501057.pd%5e on 04-Jul-06
5. F. Streichert, Ulmer, H. Zell, A. "Comparing Discrete and Continuous Genotypes on the Constrainted Portfolio Selection Problem" Available: http:///www-ra.informatik.uni-tuebingen.de/
6. S. Arnone, A. Loraschi, and Tettamanzi, "A genetic approach to portfolio selection," Journal on Neural and Mass-Parallel Computing and Information Systems, Vol. 3 (1993), pp. 597-604
7. A. Loraschi and A. Tettamanzi, An evolutionary algorithm for portfolio selection in a downside risk framework,- Working Papers in Financial Economics, Vol. 6, (1995), pp. 8-12
8. A. Loraschi, A. Tettamanzi, M. Tomassini, and P. Verda, Distributed genetic algorithms with an application to portfolio selection problems, In Artificial Neural Networks and Genetic Algorithms, eds. D. W. Pearson, N. C. Steele, and R. F. Albrecht, Springer, Wein, 1995 pp. 384-387
9. A. Mukherjee, R" Biswas, K. Deb, and A. P. Mathur, 'Multi-objective Evolutionary Algorithms for the Risk-return trade-off in Bank Loan Management," International Transaction in Operations Research, vol. 9, pp. 583-597, 2002
10. F. Streichert, H. Ulmer, and A. Zell, "Hybrid Representation for Compositional Optimization and Parallelizing MOEAs" Available: http://drops.dagstuhl.de/opus/volltexte/2005/251/pdf/04461
11. R. Subbu, Bonissone, P.P. Eklund, N. Bollapragada, S. Chalermkraivuth, K, "Multiobjective financial portfolio design: a hybrid evolutionary approach," Evolutionary Computation, 2005. The 2005 IEEE Congress on, Vol. 2 (2005), IEEE, pp. 1722-1729
12. H. M. Markowitz, "Portfolio Selection" The Journal of Finance-, 7(1), March, 1952 pp. 77-91
13. E.J. Elton, M.J. Gruber, "Modern Portfolio Theory, 1950 to date," Journal of Banking & Finance 21 1997, pp. 1743-1759
14. Black, F.,M.C. Jensen, and M. Scholes, "The Capital Asset Pricing Model: Some Empirical Tests," in Studies of the Theory of Capital Markets, ed By M.C. Jensen, Praeger Publishers, In., New York, 1972
15. F. Streichert H. Ulmer, A. Zell"Evaluating a hybrid encoding and three crossover operators on the constrained portfolio selection problem"Evolutionary Computation, 2004. CEC2004. Congress on, v.1 IEEE 2004 932-939
16. J.D. Schaffer,"Multiple Objective Optimization with Vector Evaluated Genetic Algorithm," In Proceeding of the First International Conferenceon Genetic Algorithms: Genetic Algorithms and their Applications. Lawrence Erlbaum, pp. 93-100.1987.
17. E. Zitzler, M. Laumanns ,and S. Bleuler, "A Tutorial on Evolutionary Multiobjective Optimization," In: Gandibleux, X., M. Sevaux, K. Sorensen, and V. T'kindt, eds., Mrtaheuristics for Multiobjective Optimisation, Springer, Berlin 2004.
18. C.M. Fonseca, and P.J. Flemming, "Genetic Algorithm for Multiobjective Optimization: Formulation, Discussion and Generalization. In: Forrest S., ed., Proceeding of the Fifth International Conference on Genetic Algorithms, Morgan Kaufmann, San Mateo, CA, pp. 416-423, 2001.
19. E Zitzler M. laumanns and L. Thiele, "SPEA2: Improving Strength Pareto Evolutionary Algorithm," Technical Report 103, Computer Engineering and Networks Laboratory, Swiss Federation of Technology, Zurich, 2001.
20. K. Deb, A. Pratab, S. Agrawal and T. Meyarivan, "A Fast and Elitist Multi-objective Genetic Algorithm: NSGA-II," IEEE Transactions on Evolutionary Computation, pp. 182-197, 2002.
21. K.C. Tan, E.F. Khor and T.H. Lee, Multiobjective Evolutionary Algorithms and Applications, Springer, London, 2005.