Stock Portfolio Based on Multi-objective Optimization with Preference of Decision-makers
LI Zhangxia · Journal of Hefei Normal University · 2015
To a portfolio investor,the asset return and risk are two important aspects of their concerns.Multi-objective optimization methods can find a large number of different portfolios,but investors are often only interested in a small number of them,and thus investors will spend much time selecting the small number of portfolios.In this paper,a multi-objective optimization algorithm with preference of decisionmakers,called KR-NSGA-II,is introduced to optimize the asset return and risk.The effectiveness of KRNSGA-II is verified by empirical analysis.Experimental results illustrate that KR-NSGA-II only finds the portfolios preferred by investors,hence much time can be saved for investors to select their preferred portfolios.