Decision Making in Portfolio Optimization by Using a Tri-Objective Model and Decision Parameters

Tiziana Ciano () and Massimiliano Ferrara ()
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Tiziana Ciano: University Mediterranea of Reggio Calabria, Department of Law, Economics and Human Sciences and Decisions Lab
Massimiliano Ferrara: University Mediterranea of Reggio Calabria, Department of Law, Economics and Human Sciences and Decisions Lab

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2022, pp 156-161 from Springer

Abstract: Abstract This study proposes a tri-objective portfolio optimization model comprising three objectives, which apart from the return, risk, modelled decision-maker preferences using a proposed composite index. In earlier studies, decision-maker preferences modelled using practical constraints; in contrast, this paper modelled these preferences as constraints along with the proposed composite index based on three decision parameters. To check the effectiveness of the proposed approach is tested on four multi-objective evolutionary algorithms i.e. NSGA-II, SPEA2, MOPSO, and MOEA/D. Finally, conclusions are drawn from the comparative study of these adapted Multi-Objective Evolutionary Algorithms (MOEAs).

Keywords: Multi-objective portfolio optimization; CVaR; Decision parameters (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-99638-3_26

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DOI: 10.1007/978-3-030-99638-3_26

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