Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures
نویسندگان
چکیده
منابع مشابه
2-Phase NSGA II: An Optimized Reward and Risk Measurements Algorithm in Portfolio Optimization
Portfolio optimization is a serious challenge for financial engineering and has pulled down special attention among investors. It has two objectives: to maximize the reward that is calculated by expected return and to minimize the risk. Variance has been considered as a risk measure. There are many constraints in the world that ultimately lead to a non–convex search space such as cardinality co...
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Traditionally, the measure of risk used in portfolio optimisation models is the variance. However, alternative measures of risk have many theoretical and practical advantages and it is peculiar therefore that they are not used more frequently. This may be because of the difficulty in deciding which measure of risk is best and any attempt to compare different risk measures may be a futile exerci...
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Non-dominated Sorting Genetic Algorithm (NSGA) has established itself as a benchmark algorithm for Multiobjective Optimization. The determination of pareto-optimal solutions is the key to its success. However the basic algorithm suffers from a high order of complexity, which renders it less useful for practical applications. Among the variants of NSGA, several attempts have been made to reduce ...
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ژورنال
عنوان ژورنال: Financial Innovation
سال: 2019
ISSN: 2199-4730
DOI: 10.1186/s40854-019-0140-6