The mean-variance cardinality constrained portfolio optimization problem using a local search-based multi-objective evolutionary algorithm

Portfolio optimization problem is an important research topic in finance. The standard model of this problem, called Markowitz mean-variance model, has two conflicting criteria: expected returns and risks. In this paper, we consider a more realistic portfolio optimization problem, including both car...

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Bibliographic Details
Published in:	Applied intelligence (Dordrecht, Netherlands) Vol. 47; no. 2; pp. 505 - 525
Main Authors:	Chen, Bili, Lin, Yangbin, Zeng, Wenhua, Xu, Hang, Zhang, Defu
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.09.2017 Springer Nature B.V
Subjects:	Algorithms Artificial Intelligence Boundary layers Classification Computer Science Computer simulation Constraints Evolutionary algorithms Machines Manufacturing Mechanical Engineering Multiple objective analysis Optimization Portfolio management Processes Searching Sensitivity analysis Sorting algorithms Strategy Variance Portfolio optimization Multi-objective evolutionary framework Local search Non-dominated sorting
ISSN:	0924-669X, 1573-7497
Online Access:	Get full text
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