Smooth Multiobjective Portfolio Optimization Model and Its Solving Method

Abstract

A smooth multiobjective portfolio mathematics model without short selling being allowed is put forward in this paper firstly. Secondly, to obtain a sufficient number of uniformly distributed portfolio optimal solutions located on the true portfolio optimal front, a multiobjective genetic algorithm solving the smooth multiobjective portfolio model is designed. Finally, the performance of the designed algorithm is simulated by four topical benchmark portfolio test problems. The performance evaluations illustrate that the proposed algorithm can obtain faster and better convergence to the true portfolio optimal front compared with two typical multiobjective genetic algorithms.