The mean-variance-skewness cardinality constrained portfolio optimization problem using a customized multi-objective evolutionary algorithm

MVSCCPO is a mean-variance-skewness portfolio optimization problem with cardinality constraint. It increases the skewness as the third objective, and introduces cardinality constraint to reduce the difficulty of asset management. A customized NSGA-III(c-NSGA-III) algorithm is proposed for the proble...

Full description

Saved in:
Bibliographic Details
Published in:2019 3rd International Conference on Electronic Information Technology and Computer Engineering (EITCE) pp. 1938 - 1944
Main Authors: Li, Lan, Huang, Wenlan, Zhang, Yu
Format: Conference Proceeding
Language:English
Published: IEEE 01.10.2019
Subjects:
cardinality constraint
coding mechanism
component Multi-objective evolutionary algorithm
Encoding
Evolutionary computation
fuzzy clustering
Genetic algorithms
Optimization
portfolio optimization
Portfolios
Sociology
Sorting
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:MVSCCPO is a mean-variance-skewness portfolio optimization problem with cardinality constraint. It increases the skewness as the third objective, and introduces cardinality constraint to reduce the difficulty of asset management. A customized NSGA-III(c-NSGA-III) algorithm is proposed for the problem. It introduces an effective solution representation mechanism, customized crossover and mutation operators, a tournament selection based on membership is introduced in the mating selection phase instead of the original random selection method. Finally, an empirical analysis is carried out to verify the effectiveness of the proposed algorithm by comparing with NSGA-II and MOEA/D. The results show that c-NSGA-III performs better than other algorithms on solving MVSCCPO problem.
DOI:10.1109/EITCE47263.2019.9094951