Volume 9 Number 1 (Jan. 2014)
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JSW 2014 Vol.9(1): 222-229 ISSN: 1796-217X
doi: 10.4304/jsw.9.1.222-229

A Novel Multi-objective Evolutionary Algorithm Solving Portfolio Problem

Yuan Zhou, Hai-Lin Liu, Wenqin Chen, Jingqian Li
School of Applied Mathematics, Guangdong University of Technology, Guangzhou, China

Abstract—With the improvement of complex and uncertain finance environment, the difficulty of portfolio problem is increasing. Whether or not the projects is successfully selected, directly affects the development of the investment companies. This paper firstly talks about the finance conditions in single term investment and then extends the investment from one term to many terms. After that, a multi-project and multi-term portfolio model through considering the remaining funds in different investment terms is proposed. The model is based on a new kind of Mean-Semi-covariance theory, which can describe the uncertainty of return and risk in investment. The portfolio investment is a multi-objective optimization problem with constraints. Multi-objective evolutionary algorithm (MOEA) with greedy repair strategy is used to deal with the infeasible individuals and makes the investment reasonable. Finally, computer simulation shows that the proposed algorithm can be considered as a viable alternative.

Index Terms—Multi-objective optimization, multi-project and multi-term portfolio, portfolio model, evolutionary algorithm

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Cite: Yuan Zhou, Hai-Lin Liu, Wenqin Chen, Jingqian Li, "A Novel Multi-objective Evolutionary Algorithm Solving Portfolio Problem," Journal of Software vol. 9, no. 1, pp. 222-229, 2014.

General Information

ISSN: 1796-217X (Online)
Frequency:  Quarterly
Editor-in-Chief: Prof. Antanas Verikas
Executive Editor: Ms. Yoyo Y. Zhou
Abstracting/ Indexing: DBLP, EBSCO, CNKIGoogle Scholar, ProQuest, INSPEC(IET), ULRICH's Periodicals Directory, WorldCat, etc
E-mail: jsw@iap.org
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