Particle swarm optimization method in multiobjective problems
Proceedings of the 2002 ACM symposium on Applied computing
A Fast Elitist Non-dominated Sorting Genetic Algorithm for Multi-objective Optimisation: NSGA-II
PPSN VI Proceedings of the 6th International Conference on Parallel Problem Solving from Nature
A discrete version of particle swarm optimization for flowshop scheduling problems
Computers and Operations Research
Multiobjective optimization using dynamic neighborhood particle swarm optimization
CEC '02 Proceedings of the Evolutionary Computation on 2002. CEC '02. Proceedings of the 2002 Congress - Volume 02
MOPSO: a proposal for multiple objective particle swarm optimization
CEC '02 Proceedings of the Evolutionary Computation on 2002. CEC '02. Proceedings of the 2002 Congress - Volume 02
Multiobjective evolutionary algorithms: a comparative case studyand the strength Pareto approach
IEEE Transactions on Evolutionary Computation
Hi-index | 0.00 |
Efficient portfolio design is a real challenge in the area of computational finance. Optimisation based on Markowitz (1959) two-objective mean-variance approach is computationally expensive for real financial world. Practical portfolio design introduces further complexity as it requires the optimisation of multiple return and risk measures. Some of these measures are non-linear and non-convex. Three well known multi-objective evolutionary algorithms, i.e., Pareto envelope-based selection algorithm, micro-genetic algorithm and multi-objective particle swarm optimisation are chosen and applied for solving the bi-objective portfolio optimisation problem which simultaneously maximise the return and minimise the associated risk. Performance comparison is obtained by carrying out using practical data. The results demonstrate that MOPSO outperforms the existing two methods for the considered test cases.