Portfolio Optimization Using Multi-objective Evolutionary Algorithm

Rashi Chandrakar , Dr Sanjeev Sharma

Data Mining, portfolio, stock selection, multi-objective evolutionary algorithm.

Optimization plays a critical position in lots of regions of technological know-how, management, economics, and engineering. Many techniques in arithmetic and operation research are to be had to resolve such problems. However, those techniques have many shortcomings to offer a fast and correct solution, especially whilst the optimization problem involves many variables and constraints. Funding portfolio optimization is one such crucial but a complicated problem in computational finance which wishes effective and efficient answers. On this hassle, every to be had asset is judiciously selected in this type of way that the entire profit is maximized at the same time as concurrently minimizing the risk, This thesis has proposed and suitably applied three MOEAs for solving the multi-objective optimization problem, The performance of these algorithms has been evaluated and compared between NSGA II, MOEA/D and , MOEA/DD, considering average, variance and, standard deviation, performance of all algorithms, it is observed that, the proposed MOEA/DD provide better pareto solution.

Published Paper   E-Certificate

"Portfolio Optimization Using Multi-objective Evolutionary Algorithm", IJSDR - International Journal of Scientific Development and Research (www.IJSDR.org), ISSN:2455-2631, Vol.3, Issue 6, page no.366 - 371, June-2018, Available :https://ijsdr.org/papers/IJSDR1806060.pdf

Volume 3 Issue 6, June-2018

Pages : 366 - 371

Paper Reg. ID: IJSDR_180451

Published Paper Id: IJSDR1806060

Downloads: 000347196

Research Area: Engineering

Country: DURG, Chhattisgarh, India

Published Paper PDF: https://ijsdr.org/papers/IJSDR1806060

Published Paper URL: https://ijsdr.org/viewpaperforall?paper=IJSDR1806060

ISSN: 2455-2631 | IMPACT FACTOR: 9.15 Calculated By Google Scholar | ESTD YEAR: 2016

An International Scholarly Open Access Journal, Peer-Reviewed, Refereed Journal Impact Factor 9.15 Calculate by Google Scholar and Semantic Scholar | AI-Powered Research Tool, Multidisciplinary, Monthly, Multilanguage Journal Indexing in All Major Database & Metadata, Citation Generator

Publisher: IJSDR(IJ Publication) Janvi Wave

This work is licensed under a Creative Commons Attribution 4.0 International License and The Open Definition