Computing the Mean-Variance-Sustainability Nondominated Surface by ev-MOGA
المؤلفون المشاركون
Garcia-Bernabeu, A.
Salcedo, J. V.
Hilario, A.
Pla-Santamaria, D.
Herrero, Juan M.
المصدر
العدد
المجلد 2019، العدد 2019 (31 ديسمبر/كانون الأول 2019)، ص ص. 1-12، 12ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2019-12-11
دولة النشر
مصر
عدد الصفحات
12
التخصصات الرئيسية
الملخص EN
Despite the widespread use of the classical bicriteria Markowitz mean-variance framework, a broad consensus is emerging on the need to include more criteria for complex portfolio selection problems.
Sustainable investing, also called socially responsible investment, is becoming a mainstream investment practice.
In recent years, some scholars have attempted to include sustainability as a third criterion to better reflect the individual preferences of those ethical or green investors who are willing to combine strong financial performance with social benefits.
For this purpose, new computational methods for optimizing this complex multiobjective problem are needed.
Multiobjective evolutionary algorithms (MOEAs) have been recently used for portfolio selection, thus extending the mean-variance methodology to obtain a mean-variance-sustainability nondominated surface.
In this paper, we apply a recent multiobjective genetic algorithm based on the concept of ε-dominance called ev-MOGA.
This algorithm tries to ensure convergence towards the Pareto set in a smart distributed manner with limited memory resources.
It also adjusts the limits of the Pareto front dynamically and prevents solutions belonging to the ends of the front from being lost.
Moreover, the individual preferences of socially responsible investors could be visualised using a novel tool, known as level diagrams, which helps investors better understand the range of values attainable and the tradeoff between return, risk, and sustainability.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Garcia-Bernabeu, A.& Salcedo, J. V.& Hilario, A.& Pla-Santamaria, D.& Herrero, Juan M.. 2019. Computing the Mean-Variance-Sustainability Nondominated Surface by ev-MOGA. Complexity،Vol. 2019, no. 2019, pp.1-12.
https://search.emarefa.net/detail/BIM-1132336
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Garcia-Bernabeu, A.…[et al.]. Computing the Mean-Variance-Sustainability Nondominated Surface by ev-MOGA. Complexity No. 2019 (2019), pp.1-12.
https://search.emarefa.net/detail/BIM-1132336
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Garcia-Bernabeu, A.& Salcedo, J. V.& Hilario, A.& Pla-Santamaria, D.& Herrero, Juan M.. Computing the Mean-Variance-Sustainability Nondominated Surface by ev-MOGA. Complexity. 2019. Vol. 2019, no. 2019, pp.1-12.
https://search.emarefa.net/detail/BIM-1132336
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-1132336
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر