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
• 其他作者: School of Electrical and Electronic Engineering
• 格式: Article
• 語言: English
• 出版: 2018
• 主題: Multiobjective Evolutionary Algorithms; DRNTU::Engineering::Electrical and electronic engineering; Portfolio Optimization
• 在線閱讀: https://hdl.handle.net/10356/88824; http://hdl.handle.net/10220/45926
• 機構: 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...