Bi-objective portfolio optimization using a customized hybrid NSGA-II procedure

Deb, Kalyanmoy ; Steuer, Ralph E. ; Tewari, Rajat ; Tewari, Rahul (2011) Bi-objective portfolio optimization using a customized hybrid NSGA-II procedure Proceedings of Sixth International Conference on Evolutionary Multi-Criterion Optimization (EMO-2011) . pp. 358-373.

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Official URL: http://dl.acm.org/citation.cfm?id=1987665

Abstract

Bi-objective portfolio optimization for minimizing risk and maximizing expected return has received considerable attention using evolutionary algorithms. Although the problem is a quadratic programming (QP) problem, the practicalities of investment often make the decision variables discontinuous and introduce other complexities. In such circumstances, usual QP solution methodologies can not always find acceptable solutions. In this paper, we modify a bi-objective evolutionary algorithm (NSGA-II) to develop a customized hybrid NSGA-II procedure for handling situations that are non-conventional for classical QP approaches. By considering large-scale problems, we demonstrate how evolutionary algorithms enable the proposed procedure to find fronts, or portions of fronts, that can be difficult for other methods to obtain.

Item Type:Article
Source:Copyright of this article belongs to Proceedings of Sixth International Conference on Evolutionary Multi-Criterion Optimization (EMO-2011).
ID Code:81013
Deposited On:03 Feb 2012 11:55
Last Modified:03 Feb 2012 11:55

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