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Active Portfolio Management from a Fuzzy Multi-objective Programming Perspective

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Book cover Applications of Evolutionary Computation (EvoApplications 2010)

Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 6025))

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Abstract

We consider the problem of structuring a portfolio that outperforms a benchmark index, assuming restrictions on the total number of tradable assets. We experiment with non-standard formulations of active portfolio management, outside the mean-variance framework, incorporating approximate (fuzzy) investment targets and portfolio constraints. To deal with the inherent computational difficulties of cardinality-constrained active allocation problems, we apply three nature-inspired optimisation procedures: simulated annealing, genetic algorithms and particle swarm optimisation. Optimal portfolios derived from these methods are benchmarked against the Dow Jones Industrial Average index and two simpler heuristics for detecting good asset combinations, based on Monte-Carlo simulation and fundamental analysis.

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References

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Author information

Authors and Affiliations

  1. Management and Engineering Laboratory, Department of Financial & Management Engineering, University of the Aegean, 8 Michalon Str., GR-821 00, Chios, Greece

    Nikos S. Thomaidis

Authors
  1. Nikos S. Thomaidis
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Editor information

Editors and Affiliations

  1. Department of Mathematics and Statistics, University of Strathclyde, 16 Richmond Street, G1 1XQ, Glasgow, UK

    Cecilia Di Chio

  2. School of Business, University College Dublin, Belfield, Dublin 4, UK

    Anthony Brabazon

  3. ’Dalla Molle’ Institute for Artificial Intelligence (IDSIA), Galleria 2, 6928, Manno-Lugano, Switzerland

    Gianni A. Di Caro

  4. Wilhelm Schickard-Institut für Informatik, Universität Tübingen, Sand 1, 72076, Tübingen, Germany

    Marc Ebner

  5. National University of Computer and Emerging Sciences (NUCES), A.K. Brohi Road, H-11/4, Islamabad, Pakistan

    Muddassar Farooq

  6. Fakultät für WiSo, HelmutSchmidt-Universität, Holstenhofweg 85, 22043, Hamburg, Germany

    Andreas Fink

  7. Department of Information Systems, Johannes Gutenberg-Universität, 55099, Mainz, Germany

    Jörn Grahl

  8. Mathematics and Computer Science Depatment, University of Richmond, 23173, Richmond, VA, USA

    Gary Greenfield

  9. Department of Informatics Engineering, Polo II - Pinhal de Marrocos, University of Coimbra, 3030 - 290, Coimbra, Portugal

    Penousal Machado

  10. School of Computer Science and Informatics, University College Dublin, Belfield, Dublin 4, UK

    Michael O’Neill

  11. Istituto di Calcolo e Reti ad Alte Prestazioni (ICAR), Consiglio Nazionale delle Ricerche (CNR), Via P. Castellino 111, 80131, Naples, Italy

    Ernesto Tarantino

  12. School of Computing, Edinburgh Napier University, 10 Clinton Road, EH10 5DT, Edinburgh, UK

    Neil Urquhart

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© 2010 Springer-Verlag Berlin Heidelberg

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Thomaidis, N.S. (2010). Active Portfolio Management from a Fuzzy Multi-objective Programming Perspective. In: Di Chio, C., et al. Applications of Evolutionary Computation. EvoApplications 2010. Lecture Notes in Computer Science, vol 6025. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-12242-2_23

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  • DOI: https://doi.org/10.1007/978-3-642-12242-2_23

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-12241-5

  • Online ISBN: 978-3-642-12242-2

  • eBook Packages: Computer ScienceComputer Science (R0)

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