Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures

Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures

Abstract In this study, we analyze three portfolio selection strategies for loss-averse investors: semi-variance, conditional value-at-risk, and a combination of both risk measures. Moreover, we propose a novel version of the non-dominated sorting genetic algorithm II and of the strength Pareto evol...

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Bibliographic Details
Main Authors: Massimiliano Kaucic, Mojtaba Moradi, Mohmmad Mirzazadeh
Format: Article
Language:English
Published: SpringerOpen 2019-06-01
Series:Financial Innovation
Subjects:
Multi-objective portfolio optimization
Semi-variance
CVaR
NSGA-II
SPEA 2
Intermediate crossover
Online Access:http://link.springer.com/article/10.1186/s40854-019-0140-6

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