Multiobjective Evolutionary Algorithms for Portfolio Management: A comprehensive literature review

Authors:
K. Metaxiotis;K. Liagkouras
Affiliations:
Decision Support Systems Laboratory, Department of Informatics, University of Piraeus, 80, Karaoli & Dimitriou Str., 18534 Piraeus, Greece;Decision Support Systems Laboratory, Department of Informatics, University of Piraeus, 80, Karaoli & Dimitriou Str., 18534 Piraeus, Greece
Venue:
Expert Systems with Applications: An International Journal
Year:
2012

Citing 43
Cited 2

Intelligence through simulated evolution: forty years of evolutionary programming

Intelligence through simulated evolution: forty years of evolutionary programming
Outline for a Logical Theory of Adaptive Systems

Journal of the ACM (JACM)
Heuristics for cardinality constrained portfolio optimisation

Computers and Operations Research
Genetic Algorithms in Search, Optimization and Machine Learning

Genetic Algorithms in Search, Optimization and Machine Learning
Evolutionary Algorithms for Solving Multi-Objective Problems

Evolutionary Algorithms for Solving Multi-Objective Problems
Local Search Techniques for Constrained Portfolio SelectionProblems

Computational Economics
Multiple Objective Optimization with Vector Evaluated Genetic Algorithms

Proceedings of the 1st International Conference on Genetic Algorithms
Genetic Algorithms for Multiobjective Optimization: FormulationDiscussion and Generalization

Proceedings of the 5th International Conference on Genetic Algorithms
The Pareto Envelope-Based Selection Algorithm for Multi-objective Optimisation

PPSN VI Proceedings of the 6th International Conference on Parallel Problem Solving from Nature
Why Quality Assessment Of Multiobjective Optimizers Is Difficult

GECCO '02 Proceedings of the Genetic and Evolutionary Computation Conference
The Niched Pareto Genetic Algorithm 2 Applied to the Design of Groundwater Remediation Systems

EMO '01 Proceedings of the First International Conference on Evolutionary Multi-Criterion Optimization
Some experiments in machine learning using vector evaluated genetic algorithms (artificial intelligence, optimization, adaptation, pattern recognition)

Some experiments in machine learning using vector evaluated genetic algorithms (artificial intelligence, optimization, adaptation, pattern recognition)
An empirical study of evolutionary techniques for multiobjective optimization in engineering design

An empirical study of evolutionary techniques for multiobjective optimization in engineering design
Comparison of Multiobjective Evolutionary Algorithms: Empirical Results

Evolutionary Computation
Muiltiobjective optimization using nondominated sorting in genetic algorithms

Evolutionary Computation
Efficient implementation of an active set algorithm for large-scale portfolio selection

Computers and Operations Research
Hybrid Local Search for Constrained Financial Portfolio Selection Problems

CPAIOR '07 Proceedings of the 4th international conference on Integration of AI and OR Techniques in Constraint Programming for Combinatorial Optimization Problems
Generating Robust Investment Strategies with Agent-Based Co-evolutionary System

ICCS '08 Proceedings of the 8th international conference on Computational Science, Part III
Lagrangian relaxation procedure for cardinality-constrained portfolio optimization

Optimization Methods & Software
A memetic model of evolutionary PSO for computational finance applications

Expert Systems with Applications: An International Journal
Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm

Expert Systems with Applications: An International Journal
An Introduction to Natural Computing in Finance

EvoWorkshops '09 Proceedings of the EvoWorkshops 2009 on Applications of Evolutionary Computing: EvoCOMNET, EvoENVIRONMENT, EvoFIN, EvoGAMES, EvoHOT, EvoIASP, EvoINTERACTION, EvoMUSART, EvoNUM, EvoSTOC, EvoTRANSLOG
Comparison of Multi-agent Co-operative Co-evolutionary and Evolutionary Algorithms for Multi-objective Portfolio Optimization

EvoWorkshops '09 Proceedings of the EvoWorkshops 2009 on Applications of Evolutionary Computing: EvoCOMNET, EvoENVIRONMENT, EvoFIN, EvoGAMES, EvoHOT, EvoIASP, EvoINTERACTION, EvoMUSART, EvoNUM, EvoSTOC, EvoTRANSLOG
Investigating technical trading strategy via an multi-objective evolutionary platform

Expert Systems with Applications: An International Journal
Portfolio optimization problems in different risk measures using genetic algorithm

Expert Systems with Applications: An International Journal
Algorithm for cardinality-constrained quadratic optimization

Computational Optimization and Applications
Multi-objective learning via genetic algorithms

IJCAI'85 Proceedings of the 9th international joint conference on Artificial intelligence - Volume 1
Solving a comprehensive model for multiobjective project portfolio selection

Computers and Operations Research
A portfolio optimization model with three objectives and discrete variables

Computers and Operations Research
Solving hierarchical optimization problems using MOEAs

EMO'03 Proceedings of the 2nd international conference on Evolutionary multi-criterion optimization
Genetic relation algorithm with guided mutation for the large-scale portfolio optimization

Expert Systems with Applications: An International Journal
Multi-objective optimization matching for one-shot multi-attribute exchanges with quantity discounts in E-brokerage

Expert Systems with Applications: An International Journal
An empirical study of classification algorithm evaluation for financial risk prediction

Applied Soft Computing
Enhanced index tracking based on multi-objective immune algorithm

Expert Systems with Applications: An International Journal
Swarm intelligence for cardinality-constrained portfolio problems

ICCCI'10 Proceedings of the Second international conference on Computational collective intelligence: technologies and applications - Volume Part III
Constrained Portfolio Selection using Particle Swarm Optimization

Expert Systems with Applications: An International Journal
Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem

Expert Systems with Applications: An International Journal
Using investment satisfaction capability index based particle swarm optimization to construct a stock portfolio

Information Sciences: an International Journal
Bi-objective portfolio optimization using a customized hybrid NSGA-II procedure

EMO'11 Proceedings of the 6th international conference on Evolutionary multi-criterion optimization
1984-2004 – 20 years of multiobjective metaheuristics. but what about the solution of combinatorial problems with multiple objectives?

EMO'05 Proceedings of the Third international conference on Evolutionary Multi-Criterion Optimization
Active portfolio management from a fuzzy multi-objective programming perspective

EvoCOMNET'10 Proceedings of the 2010 international conference on Applications of Evolutionary Computation - Volume Part II
Multiobjective evolutionary algorithms: a comparative case studyand the strength Pareto approach

IEEE Transactions on Evolutionary Computation
A fast and elitist multiobjective genetic algorithm: NSGA-II

IEEE Transactions on Evolutionary Computation

Comparing a multiobjective optimization algorithm for discovering driving strategies with humans

Expert Systems with Applications: An International Journal
Credit portfolio management using two-level particle swarm optimization

Information Sciences: an International Journal

Quantified Score

Hi-index	12.05

Visualization

Abstract

In this paper we provide a review of the current state of research on Portfolio Management with the support of Multiobjective Evolutionary Algorithms (MOEAs). Second we present a methodological framework for conducting a comprehensive literature review on the Multiobjective Evolutionary Algorithms (MOEAs) for the Portfolio Management. Third, we use this framework to gain an understanding of the current state of the MOEAs for the Portfolio Management research field and fourth, based on the literature review, we identify areas of concern with regard to MOEAs for the Portfolio Management research field.