Computing the Mean-Variance-Sustainability Nondominated Surface by ev-MOGA
Joint Authors
Garcia-Bernabeu, A.
Salcedo, J. V.
Hilario, A.
Pla-Santamaria, D.
Herrero, Juan M.
Source
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-12-11
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract 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.
American Psychological Association (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
Modern Language Association (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
American Medical Association (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
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1132336