Improved Large-Scale Multi-objective Optimization Algorithm for Portfolio Management
Shengtao Zhang, Xuyang Li, Jie Zhang, Wanqing Li · Atlantis Highlights in Computer Sciences/Atlantis highlights in computer sciences · 2023
For securities investors, the return and risk of investment are the two main aspects of their concern.However, in real life, the vast majority of investors are not professionally trained, which makes them confused about portfolio selection in the face of tens of thousands of investment targets in the financial market.The multi-objective optimization problem of investment return and risk is solved by using an improved large-scale multi-objective optimization algorithm.From experimental results, it can be seen that the improved algorithm can get better results than previous algorithms on the large-scale multi-objective problems.The portfolio with the highest Sharpe ratio produced by the improved algorithm outperforms the CSI 300 index over the same period in terms of return and maximum retracement.It shows that the improved algorithm can achieve the selection of the investors' ideal portfolio from a larger number of stocks.