Multi-objective evolutionary algorithm for multi-project and multi-term portfolio problem
Yuan Zhou, Hailm Liu, Wenqin Chen · 2013
This paper proposes a multi-project and multi-term portfolio model through considering the remaining funds in investment. The model is based on a new kind of Mean-Semi-covariance theory, which describes the uncertainty of return and risk in investment. Portfolio investment is a multi-objective optimization problem with constraints. Multi-objective evolutionary algorithm (MOEA) with greedy repair strategy is used to deal with the infeasible individuals and makes the investment reasonable. Finally, computer simulation shows that the proposed algorithm can be considered as a viable alternative.