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INTERNATIONAL JOURNAL OF SCIENTIFIC DEVELOPMENT AND RESEARCH
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ISSN Approved Journal No: 2455-2631 | Impact factor: 8.15 | ESTD Year: 2016
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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: 000201507
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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