scholarly journals CONSTRAINT ROBUST PORTFOLIO SELECTION BY MULTIOBJECTIVE EVOLUTIONARY GENETIC ALGORITHM

2012 ◽  
pp. 57-62
Author(s):  
S.K. MISHRA ◽  
G. PANDA ◽  
S. MEHER ◽  
R. MAJHI
Keyword(s):  
Genetic Algorithm ◽  
Portfolio Selection ◽  
Critical Issue ◽  
Total Risk ◽  
Cardinality Constraints ◽  
Real World Data ◽  
Robust Portfolio ◽  
Total Profit ◽  
Non Gaussian ◽  
Nondominated Sorting

The problem of portfolio selection is a very challenging problem in computational finance and has received a lot of attention in last few decades. Selecting an asset and optimal weighting of it from a set of available assets is a critical issue for which the decision maker takes several aspects into consideration. Different constraints like cardinality constraints, minimum buy in thresholds and maximum limit constraint are associated with assets selection. Financial returns associated are often strongly non-Gaussian in character, and exhibit multivariate outliers. Taking these constraints into consideration and with the presence of these outliers we consider a multi-objective problem where the percentage of each available asset is so selected that the total profit of the portfolio is maximized while total risk is minimized. Nondominated Sorting Genetic Algorithm-II is used for solving this multiobjective portfolio selection problem. Performance of the proposed algorithm is carried out by performing different numerical experiments using real-world data.

scholarly journals Credibilistic Mean-Semi-Entropy Model for Multi-Period Portfolio Selection with Background Risk

Entropy ◽  
2019 ◽  
Vol 21 (10) ◽  
pp. 944 ◽  
Author(s):  
Jun Zhang ◽  
Qian Li
Keyword(s):  
Genetic Algorithm ◽  
Portfolio Selection ◽  
Hybrid Algorithm ◽  
Empirical Studies ◽  
Background Risk ◽  
Cardinality Constraints ◽  
Nsga Ii ◽  
Entropy Model ◽  
Dragonfly Algorithm ◽  
Multi Objective

In financial markets, investors will face not only portfolio risk but also background risk. This paper proposes a credibilistic multi-objective mean-semi-entropy model with background risk for multi-period portfolio selection. In addition, realistic constraints such as liquidity, cardinality constraints, transaction costs, and buy-in thresholds are considered. For solving the proposed multi-objective problem efficiently, a novel hybrid algorithm named Hybrid Dragonfly Algorithm-Genetic Algorithm (HDA-GA) is designed by combining the advantages of the dragonfly algorithm (DA) and non-dominated sorting genetic algorithm II (NSGA II). Moreover, in the hybrid algorithm, parameter optimization, constraints handling, and external archive approaches are used to improve the ability of finding accurate approximations of Pareto optimal solutions with high diversity and coverage. Finally, we provide several empirical studies to show the validity of the proposed approaches.

scholarly journals An Improved MOEA/D Based on Reference Distance for Software Project Portfolio Optimization

Complexity ◽  
2018 ◽  
Vol 2018 ◽  
pp. 1-16 ◽  
Author(s):  
Jing Xiao ◽  
Jing-Jing Li ◽  
Xi-Xi Hong ◽  
Min-Mei Huang ◽  
Xiao-Min Hu ◽  
...  
Keyword(s):  
Genetic Algorithm ◽  
Evolutionary Algorithms ◽  
Portfolio Optimization ◽  
Optimization Problem ◽  
Experimental Comparison ◽  
Software Project ◽  
Project Portfolio ◽  
Multiobjective Evolutionary Algorithms ◽  
Reference Distance ◽  
Nondominated Sorting

As it is becoming extremely competitive in software industry, large software companies have to select their project portfolio to gain maximum return with limited resources under many constraints. Project portfolio optimization using multiobjective evolutionary algorithms is promising because they can provide solutions on the Pareto-optimal front that are difficult to be obtained by manual approaches. In this paper, we propose an improved MOEA/D (multiobjective evolutionary algorithm based on decomposition) based on reference distance (MOEA/D_RD) to solve the software project portfolio optimization problems with optimizing 2, 3, and 4 objectives. MOEA/D_RD replaces solutions based on reference distance during evolution process. Experimental comparison and analysis are performed among MOEA/D_RD and several state-of-the-art multiobjective evolutionary algorithms, that is, MOEA/D, nondominated sorting genetic algorithm II (NSGA2), and nondominated sorting genetic algorithm III (NSGA3). The results show that MOEA/D_RD and NSGA2 can solve the software project portfolio optimization problem more effectively. For 4-objective optimization problem, MOEA/D_RD is the most efficient algorithm compared with MOEA/D, NSGA2, and NSGA3 in terms of coverage, distribution, and stability of solutions.

Shape optimization of egg-shaped sewer pipes based on the nondominated sorting genetic algorithm (NSGA-II)

2022 ◽  
Vol 204 ◽  
pp. 111999
Author(s):  
Hanting Wu ◽  
Yangrui Huang ◽  
Lei Chen ◽  
Yingjie Zhu ◽  
Huaizheng Li
Keyword(s):  
Genetic Algorithm ◽  
Shape Optimization ◽  
Nsga Ii ◽  
Sewer Pipes ◽  
Nondominated Sorting

scholarly journals Multiobjective Optimization Methods for Congestion Management in Deregulated Power Systems

2012 ◽  
Vol 2012 ◽  
pp. 1-8 ◽  
Author(s):  
K. Vijayakumar
Keyword(s):  
Genetic Algorithm ◽  
Power Systems ◽  
Electricity Market ◽  
Optimization Methods ◽  
Evolutionary Programming ◽  
Congestion Management ◽  
Transmission Congestion ◽  
Nsga Ii ◽  
Line Overload ◽  
Nondominated Sorting

Congestion management is one of the important functions performed by system operator in deregulated electricity market to ensure secure operation of transmission system. This paper proposes two effective methods for transmission congestion alleviation in deregulated power system. Congestion or overload in transmission networks is alleviated by rescheduling of generators and/or load shedding. The two objectives conflicting in nature (1) transmission line over load and (2) congestion cost are optimized in this paper. The multiobjective fuzzy evolutionary programming (FEP) and nondominated sorting genetic algorithm II methods are used to solve this problem. FEP uses the combined advantages of fuzzy and evolutionary programming (EP) techniques and gives better unique solution satisfying both objectives, whereas nondominated sorting genetic algorithm (NSGA) II gives a set of Pareto-optimal solutions. The methods propose an efficient and reliable algorithm for line overload alleviation due to critical line outages in a deregulated power markets. The quality and usefulness of the algorithm is tested on IEEE 30 bus system.

scholarly journals Service Composition in IoT using Genetic algorithm and Particle swarm optimization

2020 ◽  
Vol 10 (1) ◽  
pp. 56-64 ◽  
Author(s):  
Neeti Kashyap ◽  
A. Charan Kumari ◽  
Rita Chhikara
Keyword(s):  
Genetic Algorithm ◽  
Quality Of Service ◽  
Particle Swarm Optimization ◽  
Service Composition ◽  
Particle Swarm ◽  
Optimal Solution ◽  
Pso Algorithm ◽  
Critical Issue ◽  
Swarm Optimization

AbstractWeb service compositions are commendable in structuring innovative applications for different Internet-based business solutions. The existing services can be reused by the other applications via the web. Due to the availability of services that can serve similar functionality, suitable Service Composition (SC) is required. There is a set of candidates for each service in SC from which a suitable candidate service is picked based on certain criteria. Quality of service (QoS) is one of the criteria to select the appropriate service. A standout amongst the most important functionality presented by services in the Internet of Things (IoT) based system is the dynamic composability. In this paper, two of the metaheuristic algorithms namely Genetic Algorithm (GA) and Particle Swarm Optimization (PSO) are utilized to tackle QoS based service composition issues. QoS has turned into a critical issue in the management of web services because of the immense number of services that furnish similar functionality yet with various characteristics. Quality of service in service composition comprises of different non-functional factors, for example, service cost, execution time, availability, throughput, and reliability. Choosing appropriate SC for IoT based applications in order to optimize the QoS parameters with the fulfillment of user’s necessities has turned into a critical issue that is addressed in this paper. To obtain results via simulation, the PSO algorithm is used to solve the SC problem in IoT. This is further assessed and contrasted with GA. Experimental results demonstrate that GA can enhance the proficiency of solutions for SC problem in IoT. It can also help in identifying the optimal solution and also shows preferable outcomes over PSO.

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