Enhancement of the Portfolio Determination using Multi- Objective Optimization
Keywords:
Portfolio Optimization, MOPSO, MOGAAbstract
Portfolio construction is enabled through the multi objective optimization. The nature of the problem invites the construction through multi objective optimization. Genetic algorithm and the particle swarm optimization is used for the above purpose. The results obtained are compared against the classical Markowitz model. The data from the Nifty from March 2010 to October 2010 has been used. The Stocks from various sectors are used to build the portfolio. The proposed work is promising and the results obtained are outperforming. Comparing on both the algorithms PSO based multi objective optimization serves better than Genetic algorithms based on the results obtained.
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AUTHORS PROFILE
B. Umadevi has received her Master’s degree in Computer Science from Madurai Kamaraj University during the academic year 1994. Currently she is working as Assistant Professor in the Computer Science Department, at RajaDoraisingam Government Arts College, Sivagangai-Tamilnadu. She is pursuing her research in Data mining. She continues her research through Manonmaniam Sundaranar University Tirunelveli. She published her research papers in various International Journals and Conferences.
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