A Hybrid Multi Objective Optimization Approach For Portfolio Selection Problem
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A Hybrid Multi Objective Optimization Approach For Portfolio Selection Problem
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Author : Osman Pala
language : en
Publisher:
Release Date : 2017
A Hybrid Multi Objective Optimization Approach For Portfolio Selection Problem written by Osman Pala and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Portfolio selection problem is a major subject in finance where investors deal with selecting satisfying portfolio which is composed of a vast number of risky assets, under some restricting criteria that are defined by themselves. Asset prices can be effected from different events, such as political crisis, financial turmoil and technological improvements. Due to uncertainty nature of these events, it is difficult to forecast future prices of assets. However, Markowitz's Modern Portfolio Theory, which is mainly focused on portfolio risk, introduced a new idea for asset diversification in portfolio optimization. According to this approach, an investor can reduce portfolio risk simply by holding combinations of assets that are not perfectly positively correlated and also efficient portfolio can only be obtained by focusing portfolio return and risk together. In this paper, a two stage multi objective portfolio selection model is proposed for obtaining best portfolio. In the first stage, Pareto efficient portfolios are obtained by genetic algorithm with using mean and variance of assets. Then in the second stage a multi criteria decision method is applied for ranking Pareto-optimum portfolios that are obtained in previous stage. Effectiveness of criteria, such as entropy measures and higher moments are taken into consideration and also performance ratios are examined in evaluating Pareto efficient portfolios and their rankings. An illustrated example is given and results of proposed model are discussed in experimental section.
Multi Objective Optimization
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Author : Jyotsna K. Mandal
language : en
Publisher: Springer
Release Date : 2018-08-18
Multi Objective Optimization written by Jyotsna K. Mandal and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-08-18 with Computers categories.
This book brings together the latest findings on efficient solutions of multi/many-objective optimization problems from the leading researchers in the field. The focus is on solving real-world optimization problems using strategies ranging from evolutionary to hybrid frameworks, and involving various computation platforms. The topics covered include solution frameworks using evolutionary to hybrid models in application areas like Analytics, Cancer Research, Traffic Management, Networks and Communications, E-Governance, Quantum Technology, Image Processing, etc. As such, the book offers a valuable resource for all postgraduate students and researchers interested in exploring solution frameworks for multi/many-objective optimization problems.
Portfolio Optimization Using Fundamental Indicators Based On Multi Objective Ea
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Author : Antonio Daniel Silva
language : en
Publisher: Springer
Release Date : 2016-02-11
Portfolio Optimization Using Fundamental Indicators Based On Multi Objective Ea written by Antonio Daniel Silva and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-02-11 with Technology & Engineering categories.
This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different investment models with real constraints equivalents to the ones faced by managers of mutual funds, hedge funds, and pension funds. To validate the present solution two case studies are presented for the SP&500 for the period June 2010 until end of 2012. The simulations demonstrates that stock selection based on financial ratios is a combination that can be used to choose the best companies in operational terms, obtaining returns above the market average with low variances in their returns. In this case the optimizer found stocks with high return on investment in a conjunction with high rate of growth of the net income and a high profit margin. To obtain stocks with high valuation potential it is necessary to choose companies with a lower or average market capitalization, low PER, high rates of revenue growth and high operating leverage
Fuzzy Portfolio Optimization
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Author : Pankaj Gupta
language : en
Publisher: Springer
Release Date : 2014-03-17
Fuzzy Portfolio Optimization written by Pankaj Gupta and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-03-17 with Technology & Engineering categories.
This monograph presents a comprehensive study of portfolio optimization, an important area of quantitative finance. Considering that the information available in financial markets is incomplete and that the markets are affected by vagueness and ambiguity, the monograph deals with fuzzy portfolio optimization models. At first, the book makes the reader familiar with basic concepts, including the classical mean–variance portfolio analysis. Then, it introduces advanced optimization techniques and applies them for the development of various multi-criteria portfolio optimization models in an uncertain environment. The models are developed considering both the financial and non-financial criteria of investment decision making, and the inputs from the investment experts. The utility of these models in practice is then demonstrated using numerical illustrations based on real-world data, which were collected from one of the premier stock exchanges in India. The book addresses both academics and professionals pursuing advanced research and/or engaged in practical issues in the rapidly evolving field of portfolio optimization.
Multi Objective Portfolio Selection Model With Diversification By Neutrosophic Optimization Technique
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Author : Sahidul Islam
language : en
Publisher: Infinite Study
Release Date :
Multi Objective Portfolio Selection Model With Diversification By Neutrosophic Optimization Technique written by Sahidul Islam and has been published by Infinite Study this book supported file pdf, txt, epub, kindle and other format this book has been release on with Mathematics categories.
In this paper, we first consider a multi-objective Portfolio Selection model and then we add another entropy objective function and next we generalized the model. We solve the problems using Neutrosophic optimization technique. The models are illustrated with numerical examples.
Probability Based Multi Objective Optimization For Material Selection
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Author : Maosheng Zheng
language : en
Publisher: Springer Nature
Release Date : 2023-08-24
Probability Based Multi Objective Optimization For Material Selection written by Maosheng Zheng and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-08-24 with Technology & Engineering categories.
The second edition of this book illuminates the fundamental principle and applications of probability-based multi-objective optimization for material selection in viewpoint of system theory, in which a brand new concept of preferable probability and its assessment as well as other treatments are introduced by authors for the first time. Hybrids of the new approach with experimental design methodologies (response surface methodology, orthogonal experimental design, and uniform experimental design) are all performed; robustness assessment and performance utility with desirable value are included; discretization treatment in the evaluation is presented; fuzzy-based approach and cluster analysis are involved; applications in portfolio investment and shortest path problem are concerned as well. The authors wish this work will cast a brick to attract jade and would make its contributions to relevant fields as a paving stone. It is designed to be used as a textbook for postgraduate and advanced undergraduate students in relevant majors, while also serving as a valuable reference book for scientists and engineers involved in related fields.
Portfolio Selection Using Multi Objective Optimisation
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Author : Saurabh Agarwal
language : en
Publisher: Springer
Release Date : 2017-08-21
Portfolio Selection Using Multi Objective Optimisation written by Saurabh Agarwal and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-08-21 with Business & Economics categories.
This book explores the risk-return paradox in portfolio selection by incorporating multi-objective criteria. Empirical research is presented on the development of alternate portfolio models and their relative performance in the risk/return framework to provide solutions to multi-objective optimization. Next to outlining techniques for undertaking individual investor’s profiling and portfolio programming, it also offers a new and practical approach for multi-objective portfolio optimization. This book will be of interest to Foreign Institutional Investors (FIIs), Mutual Funds, investors, and researchers and students in the field.
Metaheuristic Approaches To Portfolio Optimization
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Author : Ray, Jhuma
language : en
Publisher: IGI Global
Release Date : 2019-06-22
Metaheuristic Approaches To Portfolio Optimization written by Ray, Jhuma and has been published by IGI Global this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-06-22 with Business & Economics categories.
Control of an impartial balance between risks and returns has become important for investors, and having a combination of financial instruments within a portfolio is an advantage. Portfolio management has thus become very important for reaching a resolution in high-risk investment opportunities and addressing the risk-reward tradeoff by maximizing returns and minimizing risks within a given investment period for a variety of assets. Metaheuristic Approaches to Portfolio Optimization is an essential reference source that examines the proper selection of financial instruments in a financial portfolio management scenario in terms of metaheuristic approaches. It also explores common measures used for the evaluation of risks/returns of portfolios in real-life situations. Featuring research on topics such as closed-end funds, asset allocation, and risk-return paradigm, this book is ideally designed for investors, financial professionals, money managers, accountants, students, professionals, and researchers.
Applying Particle Swarm Optimization
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Author : Burcu Adıgüzel Mercangöz
language : en
Publisher: Springer Nature
Release Date : 2021-05-13
Applying Particle Swarm Optimization written by Burcu Adıgüzel Mercangöz and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-05-13 with Business & Economics categories.
This book explains the theoretical structure of particle swarm optimization (PSO) and focuses on the application of PSO to portfolio optimization problems. The general goal of portfolio optimization is to find a solution that provides the highest expected return at each level of portfolio risk. According to H. Markowitz’s portfolio selection theory, as new assets are added to an investment portfolio, the total risk of the portfolio’s decreases depending on the correlations of asset returns, while the expected return on the portfolio represents the weighted average of the expected returns for each asset. The book explains PSO in detail and demonstrates how to implement Markowitz’s portfolio optimization approach using PSO. In addition, it expands on the Markowitz model and seeks to improve the solution-finding process with the aid of various algorithms. In short, the book provides researchers, teachers, engineers, managers and practitioners with many tools they need to apply the PSO technique to portfolio optimization.
Applications Of Multi Objective Evolutionary Algorithms
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Author : Carlos A. Coello Coello
language : en
Publisher: World Scientific
Release Date : 2004
Applications Of Multi Objective Evolutionary Algorithms written by Carlos A. Coello Coello and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Computers categories.
- Detailed MOEA applications discussed by international experts - State-of-the-art practical insights in tackling statistical optimization with MOEAs - A unique monograph covering a wide spectrum of real-world applications - Step-by-step discussion of MOEA applications in a variety of domains