Abstract
This study proposes a tri-objective portfolio optimization model comprising three objectives, which apart from the return, risk, modelled decision-maker preferences using a proposed composite index. In earlier studies, decision-maker preferences modelled using practical constraints; in contrast, this paper modelled these preferences as constraints along with the proposed composite index based on three decision parameters. To check the effectiveness of the proposed approach is tested on four multi-objective evolutionary algorithms i.e. NSGA-II, SPEA2, MOPSO, and MOEA/D. Finally, conclusions are drawn from the comparative study of these adapted Multi-Objective Evolutionary Algorithms (MOEAs).
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Ciano, T., Ferrara, M. (2022). Decision Making in Portfolio Optimization by Using a Tri-Objective Model and Decision Parameters. In: Corazza, M., Perna, C., Pizzi, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. MAF 2022. Springer, Cham. https://doi.org/10.1007/978-3-030-99638-3_26
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DOI: https://doi.org/10.1007/978-3-030-99638-3_26
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