期刊
INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING
卷 14, 期 3, 页码 535-564出版社
WORLD SCIENTIFIC PUBL CO PTE LTD
DOI: 10.1142/S0219622015300013
关键词
Multiobjective optimization; evolutionary algorithms; portfolio optimization; constraints
This paper provides a systematic study of the technologies and algorithms associated with the implementation of multiobjective evolutionary algorithms (MOEAs) for the solution of the portfolio optimization problem. Based on the examination of the state-of-the art we provide the best practices for dealing with the complexities of the constrained portfolio optimization problem (CPOP). In particular, rigorous algorithmic and technical treatment is provided for the efficient incorporation of a wide range of real-world constraints into the MOEAs. Moreover, we address special configuration issues related to the application of MOEAs for solving the CPOP. Finally, by examining the state-of-the-art we identify the most appropriate performance metrics for the evaluation of the relevant results from the implementation of the MOEAs to the solution of the CPOP.
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