Large-scale portfolio optimization using multiobjective evolutionary algorithms and preselection methods

• Main Authors: Qu, B. Y., Zhou, Q., Xiao, J. M., Liang, J. J., Suganthan, Ponnuthurai Nagaratnam
• Other Authors: School of Electrical and Electronic Engineering
• Format: Article
• Language: English
• Published: 2018
• Subjects: Multiobjective Evolutionary Algorithms; DRNTU::Engineering::Electrical and electronic engineering; Portfolio Optimization
• Online Access: https://hdl.handle.net/10356/88824; http://hdl.handle.net/10220/45926
• Institution: Nanyang Technological University

Portfolio optimization problems involve selection of different assets to invest in order to maximize the overall return and minimize the overall risk simultaneously. The complexity of the optimal asset allocation problem increases with an increase in the number of assets available to select from for...