Providing an Evolutionary Approach for Multi-objective Portfolio Optimization Problem by Using Evolutionary Algorithm Multi-objective NSGAII

Abstract

An important decision which companies should make is to create the optimal portfolio. Therefore, researchers have become interested in the selection of a portfolio with a high rate of return and controlled risk. The aim of this study is to use multi-objective meta heuristic algorithms for portfolio selection. NSGA-II, NRGA, and SPEA2 were used to form the proposed portfolio. Then VaR (value at risk) was regarded as a criterion for measuring risk. For this purpose, the information was collected from 20 companies operating in the stock market. They were selected from www.yahoo.com. The results indicated the efficiency and accuracy of the proposed algorithm in comparison with other algorithms.