Enhancing Financial Portfolio Robustness with an Objective Based on ϵ-Neighborhoods

Francisco Luna (), David Quintana (), Sandra García and Pedro Isasi
Additional contact information
Francisco Luna: LCC - Departamento Lenguajes y Ciencias de la Computación - Universidad de Málaga [Málaga] = University of Málaga [Málaga]
David Quintana: UC3M - Universidad Carlos III de Madrid [Madrid]
Sandra García: LADIS (CEA, LIST) - Laboratoire d'analyse des données et d'intelligence des systèmes (CEA, LIST) - DM2I (CEA, LIST) - Département Métrologie Instrumentation & Information (CEA, LIST) - LIST (CEA) - Laboratoire d'Intégration des Systèmes et des Technologies - DRT (CEA) - Direction de Recherche Technologique (CEA) - CEA - Commissariat à l'énergie atomique et aux énergies alternatives - Université Paris-Saclay
Pedro Isasi: UC3M - Universidad Carlos III de Madrid [Madrid]

Post-Print from HAL

Abstract: Financial portfolio optimization is a challenging task. One of the major difficulties is managing the uncertainty arising from different aspects of the process. This paper suggests a solution based on ϵ-neighborhoods that, combined with a time-stamped resampling mechanism, increases the robustness of the solutions. The approach is tested on four of the most popular evolutionary multiobjective algorithms over a long period of time. This results in a significant enhancement in the reliability of the estimated efficient frontier.

Keywords: GENETIC ALGORITHMS; MULTIOBJECTIVE EVOLUTIONARY ALGORITHM; Portfolio optimization; OPTIMIZATION; SELECTION; multiobjective optimization; robustness (search for similar items in EconPapers)
Date: 2016-05
Note: View the original document on HAL open archive server: https://cea.hal.science/cea-01849801v1
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in International Journal of Information Technology and Decision Making, 2016, 15 (3), pp.479-515. ⟨10.1142/S0219622016500115⟩

Downloads: (external link)
https://cea.hal.science/cea-01849801v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:cea-01849801

DOI: 10.1142/S0219622016500115

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().