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INTERNATIONAL JOURNAL OF SCIENTIFIC DEVELOPMENT AND RESEARCH International Peer Reviewed & Refereed Journals, Open Access Journal ISSN Approved Journal No: 2455-2631 | Impact factor: 8.15 | ESTD Year: 2016 open access , Peer-reviewed, and Refereed Journals, Impact factor 8.15 |
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| Paper Title: | Portfolio Optimization Using Multi-objective Evolutionary Algorithm |
| Authors Name: | Rashi Chandrakar , Dr Sanjeev Sharma |
| Unique Id: | IJSDR1806060 |
| Published In: | Volume 3 Issue 6, June-2018 |
| Abstract: | 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. |
| Keywords: | Data Mining, portfolio, stock selection, multi-objective evolutionary algorithm. |
| Cite Article: | "Portfolio Optimization Using Multi-objective Evolutionary Algorithm", International Journal of Science & Engineering Development Research (www.ijsdr.org), ISSN:2455-2631, Vol.3, Issue 6, page no.366 - 371, June-2018, Available :http://www.ijsdr.org/papers/IJSDR1806060.pdf |
| Downloads: | 000337072 |
| Publication Details: | Published Paper ID: IJSDR1806060 Registration ID:180451 Published In: Volume 3 Issue 6, June-2018 DOI (Digital Object Identifier): Page No: 366 - 371 Publisher: IJSDR | www.ijsdr.org ISSN Number: 2455-2631 |
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