Multi-objective genetic algorithm based on the fuzzy MULTIMOORA method for solving the cardinality constrained portfolio optimization

Deliktaş, Derya; Üstün, Özden

doi:10.1007/s10489-022-04240-6

Cited by 12 publications

(5 citation statements)

References 87 publications

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“…A numerical method with an alternating minimization framework is used to solve the problem with linear and quadratic constraints. In the same year, Deliktas, Derya and Ustun, Ozden [8] presented an integrated approach including the fuzzy MULTIMOORA based on(CCSD) method and the mean-variance-ranking cardinality constrained portfolio optimization (MVRCCPO) for solving the cardinality constrained portfolio optimization.…”

Section: Literature Reviewmentioning

confidence: 99%

Exploring the Application of Quadratic Programming Within the Markowitz Economic Model: An Empirical Analysis of the Chinese Real Estate Market

2024

AEMPS

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This paper introduces an innovative approach by incorporating quadratic programming (QP) into the Markowitz portfolio optimization framework. The central objective of our study is to explore the integration of QP as a solution scheme for portfolio optimization problems with constraints, particularly in the context of the dynamic and complex Chinese real estate market.By meticulously formulating rigorous mathematical models and implementing systematic procedures, we empirically assess the effectiveness and applicability of QP within the Markowitz portfolio model. Our research contributes to a deeper understanding of portfolio optimization by shedding light on how QP can aid investors in optimizing their portfolios in the intricacies of the Chinese real estate market. We provide valuable advice for investors, enabling them to make more informed and efficient investment decisions, thereby reducing risk and maximizing returns. This study serves as a valuable reference for academics, practitioners, and policymakers seeking to navigate the challenging landscape of the Chinese real estate market.

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Section: Literature Reviewmentioning

confidence: 99%

Exploring the Application of Quadratic Programming Within the Markowitz Economic Model: An Empirical Analysis of the Chinese Real Estate Market

2024

AEMPS

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“…The algorithm optimized portfolios through fuzzy multi-objective methods and mean variance sorting cardinality constraints. The results showed that the algorithm had high computational accuracy [18]. Chou Y H et al designed a weighted optimization model based on trend ratio and sentiment index to optimize investment portfolios for stable returns and reduce overall risk.…”

Section: Related Workmentioning

confidence: 99%

Optimizing Enterprise Marketing Project Portfolios Using Fuzzy Ant Colony Optimization

Mao

2024

INT J COMPUT COMMUN, Int. J. Comput. Commun. Control

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Enterprise marketing project portfolio optimization is important for business competitiveness, but involves multiple uncertain factors. An integrated model using fuzzy rules was proposed in this paper to enhance ant colony optimization. The fuzzy ant colony algorithm effectively handled ambiguity in project costs, returns, and risks when selecting an optimal portfolio of marketing initiatives. Experiments demonstrated the algorithm efficiency in converging towards high-quality solutions. Case studies indicated the model helped boost customer loyalty and profits through tailored marketing strategies, outperforming conventional approaches. The fuzzy optimization provides an effective decision-making framework for enterprises to maximize marketing effectiveness.

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“…The recent study of [65] showcased an integrated approach to fuzzy MULTIMOORA and meanvariance-ranking cardinality constrained portfolio optimization (MVRCCPO), addressing the NP-Complete problem. The multi-objective genetic algorithm, based on conic, chebyshev, and weightedsum techniques, is used to solve the problem.…”

Section: Past Studiesmentioning

confidence: 99%

“…To achieve this objective, numerous optimization algorithms have been proposed and employed in the field [1]. Among these algorithms, Particle Swarm Optimization (PSO), Genetic Algorithm (GA) and DP have emerged as commonly utilized approaches for portfolio optimization [2][3][4][5][6][7][8][9]. However, in recent years, the Differential Evolutionary Algorithm (DE algo) has garnered significant attention and popularity due to its effectiveness in tackling diverse optimization problems, including those within the domain of finance [10].…”

Section: Introductionmentioning

confidence: 99%

Selection of Appropriate Portfolio Optimization Strategy

Das,

Chaudhuri,

Roy

et al. 2023

Theor. Appl. Comput. Intell.

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Portfolio optimization is a critical task in financial management, aiming to maximize expected returns while minimizing risk. This study compares the performance of Particle Swarm Optimization (PSO), Genetic Algorithm (GA), Dynamic Programming (DP), and Differential Evolutionary Algorithm (DEA) in optimizing portfolios in the NIFTY 50 market. Using daily stock data from March 2023 to May 2023, we evaluate the algorithms based on performance metrics including the Sharpe ratio, expected return, volatility and Sortino ratio. Then an integrated multi-criteria decision making (MCDM) framework of Logarithmic Percentage Change-driven Objective Weighting (LOPCOW) and Compromise Ranking of Alternatives from Distance to Ideal Solution (CRADIS) methods has been used to compare the evolutionary algorithms for portfolio optimization. The results show that PSO outperforms the other algorithms in terms of Sharpe Ratio and Expected Return, while DEA exhibits the lowest portfolio risk. Furthermore, the efficient frontier analysis confirms PSO's ability to generate portfolios with higher expected returns at the same risk level. This research highlights the effectiveness of optimization algorithms in portfolio management and provides valuable insights for investors and portfolio managers in maximizing returns and managing risks.

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Multi-objective genetic algorithm based on the fuzzy MULTIMOORA method for solving the cardinality constrained portfolio optimization

Cited by 12 publications

References 87 publications

Exploring the Application of Quadratic Programming Within the Markowitz Economic Model: An Empirical Analysis of the Chinese Real Estate Market

Exploring the Application of Quadratic Programming Within the Markowitz Economic Model: An Empirical Analysis of the Chinese Real Estate Market

Optimizing Enterprise Marketing Project Portfolios Using Fuzzy Ant Colony Optimization

Selection of Appropriate Portfolio Optimization Strategy

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