{"title":"Providing an Evolutionary Approach for Multi-objective Portfolio Optimization Problem by Using Evolutionary Algorithm Multi-objective NSGAII","authors":"Maryam Khajouri, Somaye Khajouri, M. Saraei","doi":"10.21859/BFUP-07026","DOIUrl":null,"url":null,"abstract":"An important decision which companies should make is to create the optimal portfolio. Therefore, researchers have become interested in the selection of a portfolio with a high rate of return and controlled risk. The aim of this study is to use multi-objective meta heuristic algorithms for portfolio selection. NSGA-II, NRGA, and SPEA2 were used to form the proposed portfolio. Then VaR (value at risk) was regarded as a criterion for measuring risk. For this purpose, the information was collected from 20 companies operating in the stock market. They were selected from www.yahoo.com. The results indicated the efficiency and accuracy of the proposed algorithm in comparison with other algorithms.","PeriodicalId":43721,"journal":{"name":"Betriebswirtschaftliche Forschung Und Praxis","volume":"27 1","pages":"70-87"},"PeriodicalIF":0.1000,"publicationDate":"2017-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Betriebswirtschaftliche Forschung Und Praxis","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.21859/BFUP-07026","RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS","Score":null,"Total":0}
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Abstract
An important decision which companies should make is to create the optimal portfolio. Therefore, researchers have become interested in the selection of a portfolio with a high rate of return and controlled risk. The aim of this study is to use multi-objective meta heuristic algorithms for portfolio selection. NSGA-II, NRGA, and SPEA2 were used to form the proposed portfolio. Then VaR (value at risk) was regarded as a criterion for measuring risk. For this purpose, the information was collected from 20 companies operating in the stock market. They were selected from www.yahoo.com. The results indicated the efficiency and accuracy of the proposed algorithm in comparison with other algorithms.
公司应该做出的一个重要决策是创建最佳投资组合。因此，研究人员对选择高回报率和风险可控的投资组合产生了兴趣。本研究的目的是使用多目标元启发式算法进行投资组合选择。NSGA-II、NRGA和SPEA2被用来组成提议的组合。然后将VaR (value at risk)作为衡量风险的标准。为此，我们收集了20家股票市场公司的信息。他们是从www.yahoo.com中挑选出来的。结果表明，与其他算法相比，该算法具有较高的效率和准确性。
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