| 1 | Evolutionary Multi-objective Portfolio Optimization in Practical Context显示文摘This paper addresses evolutionary multi-objective portfolio optimization in the practical context by incorporating realistic constraints into the problem model and preference criterion into the optimization search process.The former is essential to enhance the realism of the classical mean-variance model proposed by Harry Markowitz,since portfolio managers often face a number of realistic constraints arising from business and industry regulations,while the latter reflects the fact that portfolio managers are ultimately interested in specific regions or points along the efficient frontier during the actual execution of their investment orders.For the former, this paper proposes an order-based representation that can be easily extended to handle various realistic constraints like floor and ceiling constraints and cardinality constraint.An experimental study,based on benchmark problems obtained from the OR-library, demonstrates its capability to attain a better approximation of the efficient frontier in terms of proximity and diversity with respect to other conventional representations.The experimental results also illustrated its viability and practicality in handling the various realistic constraints.A simple strategy to incorporate preferences into the multi-objective optimization process is highlighted and the experimental study demonstrates its capability in driving the evolutionary search towards specific regions of the efficient frontier. | S.C.Chiam A.Al Mamum | 2008 | International Journal of Automation and computing2008，5，1： | 5 |
您所在的机构暂未开通此部分的功能，请联系管理员