Assessing and Comparing by Specific Metrics the Performance of 15 Multiobjective Optimization Metaheuristics when Solving the Portfolio Optimization Problem
Florentina-Mihaela Apipie, Vasile Georgescu · ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH · 2019
The financial market has undergone a major revolution in recent decades with the advance and spread of multiobjective optimization metaheuristics, which can be more successfully applied to various aspects of financial decisions.Portfolio optimization is one of them.The purpose of this paper is to adapt, implement in Matlab, assess and compare the performance of 15 metaheuristics belonging to four different classes (NSGA, MOPSO, MOEA/D and SPEA classes) when applying to the Markowitz's Portfolio Optimization Problem.For comparing the performance of these algorithms, we use several specific metrics quantifying the convergence and/or the diversity of the approximate Pareto front against the true Pareto front.The optimal portfolios in the sense of Pareto are selected from a universe of 20 assets listed on the Bucharest Stock Exchange.