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DOAM for Evolutionary Portfolio Optimization: a computational study

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  • Gabriella Dellino
  • Mariagrazia Fedele
  • Carlo Meloni

Abstract

In this work, the ability of the Dynamic Objectives Aggregation Methods to solve the portfolio rebalancing problem is investigated conducting a computational study on a set of instances based on real data. The portfolio model considers a set of realistic constraints and entails the simultaneously optimization of the risk on portfolio, the expected return and the transaction cost.

Suggested Citation

  • Gabriella Dellino & Mariagrazia Fedele & Carlo Meloni, 2008. "DOAM for Evolutionary Portfolio Optimization: a computational study," Quaderni DSEMS 05-2008, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
    • Handle: RePEc:ufg:qdsems:05-2008
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    File URL: http://www.dsems.unifg.it/q052008.pdf
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    References listed on IDEAS

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    1. D. Li & M. P. Biswal, 1998. "Exponential Transformation in Convexifying a Noninferior Frontier and Exponential Generating Method," Journal of Optimization Theory and Applications, Springer, vol. 99(1), pages 183-199, October.
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