A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2019; you can also visit the original URL.
The file type is application/pdf
.
A Comparative Study of Multi-objective Evolutionary Algorithms to Optimize the Selection of Investment Portfolios with Cardinality Constraints
[chapter]
2012
Lecture Notes in Computer Science
We consider the problem of selecting investment components according to two partially opposed measures: the portfolio performance and its risk. We approach this within Markowitz's model, considering the case of mutual funds market in Europe until July 2010. Comparisons were made on three multi-objective evolutionary algorithms, namely NSGA-II, SPEA2 and IBEA. Two well-known performance measures are considered for this purpose: hypervolume and R2 indicator. The comparative analysis also includes
doi:10.1007/978-3-642-29178-4_17
fatcat:6dhmauexafac5lvmwyixhcadwq