A hybrid non-dominated sorting genetic algorithm with local search for portfolio selection problem with cardinality constraints

The Cardinality-Constrained Portfolio Selection Problem (CCPSP) consists of allocating resources to a limited number of assets. In its classical form, it is represented as a multi-objective problem, which considers the expected return and the assumed risk in the portfolio. This problem is one of the...

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Autores: Silva, Yuri Laio Teixeira Veras, Silva, Nathállya Etyenne Figueira
Tipo de recurso: artículo
Estado:Versión publicada
Fecha de publicación:2023
País:Brasil
Institución:Centro Universitário de Belo Horizonte (UNIBH)
Repositorio:Revista e-xacta
Idioma:inglés
OAI Identifier:oai:ojs.periodicos.uninove.br:article/22046
Acceso en línea:https://periodicos.uninove.br/exacta/article/view/22046
Access Level:acceso abierto
Palabra clave:portfolio selection problem
cardinality constraints
genetic algorithm
multiobjective optimization
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spelling A hybrid non-dominated sorting genetic algorithm with local search for portfolio selection problem with cardinality constraintsportfolio selection problemcardinality constraintsgenetic algorithmmultiobjective optimizationThe Cardinality-Constrained Portfolio Selection Problem (CCPSP) consists of allocating resources to a limited number of assets. In its classical form, it is represented as a multi-objective problem, which considers the expected return and the assumed risk in the portfolio. This problem is one of the most relevant subjects in finance and economics nowadays. In recent years, the consideration of cardinality constraints, which limit the number of assets in the portfolio, has received increased attention from researchers, mainly due to its importance in real-world decisions. In this context, this paper proposes a new hybrid heuristic approach, based on a Non-dominated Sorting Genetic Algorithm with Local Search structures, to solve PSP with cardinality constraints, aiming to overcome the challenge of achieving efficient solutions to the problem. The results demonstrated that the proposed algorithm achieved good quality results, outperforming other methods in the literature in several classic instances. Universidade Nove de Julho - UNINOVE2023-03-08info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://periodicos.uninove.br/exacta/article/view/2204610.5585/2023.22046Exacta; v. 22 n. 3 (2024): (jul./set.); 788-8191983-93081678-5428reponame:Revista e-xactainstname:Centro Universitário de Belo Horizonte (UNIBH)instacron:UNIBHenghttps://periodicos.uninove.br/exacta/article/view/22046/10058Copyright (c) 2023 Yuri Laio Teixeira Veras Silva, Nathállya Etyenne Figueira Silvainfo:eu-repo/semantics/openAccessSilva, Yuri Laio Teixeira VerasSilva, Nathállya Etyenne Figueira2024-09-26T19:43:09Zoai:ojs.periodicos.uninove.br:article/22046Revistahttps://revistas.unibh.br/dcet/PUBhttps://revistas.unibh.br/dcet/oaiexacta@unibh.br||periodicosdeminas@gmail.com1984-31511984-3151opendoar:2024-09-26T19:43:09Revista e-xacta - Centro Universitário de Belo Horizonte (UNIBH)false
dc.title.none.fl_str_mv A hybrid non-dominated sorting genetic algorithm with local search for portfolio selection problem with cardinality constraints
title A hybrid non-dominated sorting genetic algorithm with local search for portfolio selection problem with cardinality constraints
spellingShingle A hybrid non-dominated sorting genetic algorithm with local search for portfolio selection problem with cardinality constraints
Silva, Yuri Laio Teixeira Veras
portfolio selection problem
cardinality constraints
genetic algorithm
multiobjective optimization
title_short A hybrid non-dominated sorting genetic algorithm with local search for portfolio selection problem with cardinality constraints
title_full A hybrid non-dominated sorting genetic algorithm with local search for portfolio selection problem with cardinality constraints
title_fullStr A hybrid non-dominated sorting genetic algorithm with local search for portfolio selection problem with cardinality constraints
title_full_unstemmed A hybrid non-dominated sorting genetic algorithm with local search for portfolio selection problem with cardinality constraints
title_sort A hybrid non-dominated sorting genetic algorithm with local search for portfolio selection problem with cardinality constraints
dc.creator.none.fl_str_mv Silva, Yuri Laio Teixeira Veras
Silva, Nathállya Etyenne Figueira
author Silva, Yuri Laio Teixeira Veras
author_facet Silva, Yuri Laio Teixeira Veras
Silva, Nathállya Etyenne Figueira
author_role author
author2 Silva, Nathállya Etyenne Figueira
author2_role author
dc.subject.por.fl_str_mv portfolio selection problem
cardinality constraints
genetic algorithm
multiobjective optimization
topic portfolio selection problem
cardinality constraints
genetic algorithm
multiobjective optimization
description The Cardinality-Constrained Portfolio Selection Problem (CCPSP) consists of allocating resources to a limited number of assets. In its classical form, it is represented as a multi-objective problem, which considers the expected return and the assumed risk in the portfolio. This problem is one of the most relevant subjects in finance and economics nowadays. In recent years, the consideration of cardinality constraints, which limit the number of assets in the portfolio, has received increased attention from researchers, mainly due to its importance in real-world decisions. In this context, this paper proposes a new hybrid heuristic approach, based on a Non-dominated Sorting Genetic Algorithm with Local Search structures, to solve PSP with cardinality constraints, aiming to overcome the challenge of achieving efficient solutions to the problem. The results demonstrated that the proposed algorithm achieved good quality results, outperforming other methods in the literature in several classic instances.
publishDate 2023
dc.date.none.fl_str_mv 2023-03-08
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://periodicos.uninove.br/exacta/article/view/22046
10.5585/2023.22046
url https://periodicos.uninove.br/exacta/article/view/22046
identifier_str_mv 10.5585/2023.22046
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://periodicos.uninove.br/exacta/article/view/22046/10058
dc.rights.driver.fl_str_mv Copyright (c) 2023 Yuri Laio Teixeira Veras Silva, Nathállya Etyenne Figueira Silva
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2023 Yuri Laio Teixeira Veras Silva, Nathállya Etyenne Figueira Silva
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Nove de Julho - UNINOVE
publisher.none.fl_str_mv Universidade Nove de Julho - UNINOVE
dc.source.none.fl_str_mv Exacta; v. 22 n. 3 (2024): (jul./set.); 788-819
1983-9308
1678-5428
reponame:Revista e-xacta
instname:Centro Universitário de Belo Horizonte (UNIBH)
instacron:UNIBH
instname_str Centro Universitário de Belo Horizonte (UNIBH)
instacron_str UNIBH
institution UNIBH
reponame_str Revista e-xacta
collection Revista e-xacta
repository.name.fl_str_mv Revista e-xacta - Centro Universitário de Belo Horizonte (UNIBH)
repository.mail.fl_str_mv exacta@unibh.br||periodicosdeminas@gmail.com
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score 14,790897

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