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Type of publication: Knygos dalis / Part of book (Y)
Field of Science: Informatika / Informatics (N009)
Author(s): Radziukynienė, Ingrida;Žilinskas, Antanas
Title: Approximation of Pareto set in multi objective portfolio optimization
Is part of: Advances in electrical engineering and computational science. Dordrecht : Springer, 2009
Extent: p. 551-562
Date: 2009
Series/Report no.: (Lecture notes in electrical engineering Vol. 39)
Note: Online ISBN 978-90-481-2311-7
Keywords: Optimization, multiobjective portfolio;Sets, Pareto;Approximation;Portfolio selection;Optimization, evolutionary
ISBN: 9789048123100
Abstract: In this chapter we experimentally investigate several evolutionary multi objective optimization methods and compare their efficiency in problems of portfolio selection with the efficiency of specially tailored method of adjustable weights. Test problems were based on standard portfolio quality criteria, and data on stocks of ten Lithuanian companies. We do not concern here in mach between analytical properties of the criteria functions and such properties favorable for the considered methods; we believe, however that general (global) structure of multi-criteria portfolio selection problem will be invariant with respect to switching from criteria defined by simple analytical formula to criteria defined by complicated numerical methods
Affiliation(s): Informatikos fakultetas
Matematikos ir informatikos institutas
Vytauto Didžiojo universitetas
Appears in Collections:Universiteto mokslo publikacijos / University Research Publications

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