Robust and Constrained Portfolio Optimization using Multiobjective Evolutionary Algorithms

Mishra, Sudhansu Kumar (2012) Robust and Constrained Portfolio Optimization using Multiobjective Evolutionary Algorithms. PhD thesis.



Optimization plays an important role in many areas of science, management,economics and engineering. Many techniques in mathematics and operation research are available to solve such problems. However these techniques have many shortcomings to provide fast and accurate solution particularly when the optimization problem involves many variables and constraints. Investment portfolio optimization is one such important but complex problem in computational finance which needs effective and efficient solutions. In this problem each available asset is judiciously selected in such a way that the total profit is maximized while simultaneously minimizing the total risk. The literature survey reveals that due to non availability of suitable multi objective optimization tools, this problem is mostly being solved by viewing it as a single objective optimization problem.

Item Type:Thesis (PhD)
Uncontrolled Keywords:Portfolio Optimization, Multiobjective Optimization, Efficient Frontier, Non-dominated Sorting, Cardinality Constraint, Outliers, Minimum Volume Ellipsoid.
Subjects:Engineering and Technology > Electronics and Communication Engineering > Genetic Algorithm
Divisions: Engineering and Technology > Department of Electronics and Communication Engineering
ID Code:4963
Deposited By:Hemanta Biswal
Deposited On:20 Nov 2013 10:23
Last Modified:20 Nov 2013 10:25
Supervisor(s):Panda, G and Meher, S

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