Robust and Constrained Portfolio Optimization using Multiobjective Evolutionary Algorithms

Abstract

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.