TY - GEN
T1 - A new evolutionary algorithm based on MOEA/D for portfolio optimization
AU - Zhang, Heng
AU - Zhao, Yaoyu
AU - Wang, Feng
AU - Zhang, Anran
AU - Yang, Pengwei
AU - Shen, Xiaoliang
PY - 2018/3
Y1 - 2018/3
N2 - The portfolio optimization problem is a multi-objective problem which takes risk and return as optimization objectives. It is complicated in reality with many restrictions which results in an complex pareto front. MOEA/D is a popular multi-objective evolutionary algorithm framework with decomposition method, which has widely been used to solve multi-objective problems. In order to solve portfolio optimization problem with complex pareto front more effectively, we propose a new algorithm named MOEA/D-CP based on MOEA/D, which utilizes a new weight vector generation approach to generate a evenly distributed set of weight vectors. The experimental results show that the MOEA/D-CP performs much better than algorithm based on original MOEA/D.
AB - The portfolio optimization problem is a multi-objective problem which takes risk and return as optimization objectives. It is complicated in reality with many restrictions which results in an complex pareto front. MOEA/D is a popular multi-objective evolutionary algorithm framework with decomposition method, which has widely been used to solve multi-objective problems. In order to solve portfolio optimization problem with complex pareto front more effectively, we propose a new algorithm named MOEA/D-CP based on MOEA/D, which utilizes a new weight vector generation approach to generate a evenly distributed set of weight vectors. The experimental results show that the MOEA/D-CP performs much better than algorithm based on original MOEA/D.
KW - Complex pareto front
KW - Portfolio optimization
KW - Weight vector generation
UR - http://www.scopus.com/inward/record.url?scp=85049788186&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-85049788186&origin=recordpage
U2 - 10.1109/ICACI.2018.8377569
DO - 10.1109/ICACI.2018.8377569
M3 - RGC 32 - Refereed conference paper (with host publication)
T3 - Proceedings -10th International Conference on Advanced Computational Intelligence, ICACI
SP - 831
EP - 836
BT - Proceedings of 2018 Tenth International Conference on Advanced Computational Intelligence (ICACI)
PB - IEEE
T2 - 10th International Conference on Advanced Computational Intelligence, ICACI 2018
Y2 - 29 March 2018 through 31 March 2018
ER -