• The Constrained Mean-Semivariance Portfolio Optimization Problem with the Support of a Novel Multiobjective Evolutionary Algorithm
  • DOI: 10.4236/jsea.2013.67B005   PP.22 - 29
  • Author(s)
  • K. Liagkouras, K. Metaxiotis
  • The paper addresses the constrained mean-semivariance portfolio optimization problem with the support of a novel multi-objective evolutionary algorithm (n-MOEA). The use of semivariance as the risk quantification measure and the real world constraints imposed to the model make the problem difficult to be solved with exact methods. Thanks to the exploratory mechanism, n-MOEA concentrates the search effort where is needed more and provides a well formed efficient frontier with the solutions spread across the whole frontier. We also provide evidence for the robustness of the produced non-dominated solutions by carrying out, out-of-sample testing during both bull and bear market conditions on FTSE-100.

  • Multiobjective Optimization; Evolutionary Algorithms; Portfolio Optimization
  • References
  • [1] P. Artzner, F. Delbaen, J. Eber and D. Heath, “Coherent measures of risk. Mathematical Finance,”Mathematical Finance, Vol. 9, No.3, pp.203–228. doi:10.1111/1467-9965.00068

    [2] H. M. Markowitz, “Foundations of Portfolio Theory,” Journal of Finance, Vol.46, No. 2, 1991, pp.469-477. doi:10.1111/j.1540-6261.1991.tb02669.x

    [3] K. Metaxiotis and K. Liagkouras, “Multiobjective Evolutionary Algorithms for Portfolio Management: A comprehensive Literature Review,” Expert Systems with Applications 39, Vol.39, No. 14, 2012, pp.11685–11698. doi:10.1016/j.eswa.2012.04.053

    [4] F. Pasiouras, S. Tanna and C. Zopounidis, “The Impact of Banking Regulations on Bank’s Cost and Profit Efficiency: Cross country Evidence,” International Review of Financial Analysis, Vol. 18, No. 5, 2009, 294 - 302. doi:10.1016/j.irfa.2009.07.003

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Important Dates
Submission Due:
    April 3, 2014>>  May 14, 2014
Acceptance notification:
    May 3, 2014>>  May 23, 2014
Camera-ready due:
    May 3, 2014
    July 11-13, 2014
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