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Portfolio Optimization Using SPEA2 with Resampling

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dc.affiliation.dptoUC3M. Departamento de Informáticaes
dc.affiliation.grupoinvUC3M. Grupo de Investigación: Computación Evolutiva y Redes Neuronales (EVANNAI)es
dc.contributor.authorGarcía-Rodríguez, Sandra
dc.contributor.authorQuintana, David
dc.contributor.authorGalván, Inés M.
dc.contributor.authorIsasi, Pedro
dc.date.accessioned2012-10-10T12:01:52Z
dc.date.available2012-10-10T12:01:52Z
dc.date.issued2011
dc.descriptionProceeding of: Intelligent Data Engineering and Automated Learning – IDEAL 2011: 12th International Conference, Norwich, UK, September 7-9, 2011
dc.description.abstractThe subject of financial portfolio optimization under real-world constraints is a difficult problem that can be tackled using multiobjective evolutionary algorithms. One of the most problematic issues is the dependence of the results on the estimates for a set of parameters, that is, the robustness of solutions. These estimates are often inaccurate and this may result on solutions that, in theory, offered an appropriate risk/return balance and, in practice, resulted being very poor. In this paper we suggest that using a resampling mechanism may filter out the most unstable. We test this idea on real data using SPEA2 as optimization algorithm and the results show that the use of resampling increases significantly the reliability of the resulting portfolios.
dc.description.sponsorshipThe authors acknowledge financial support granted by the Spanish Ministry of Science under contract TIN2008-06491-C04-03 (MSTAR) and Comunidad de Madrid (CCG10- UC3M/TIC-5029).
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationIntelligent data engineering and automated learning - IDEAL 2011: 12th International Conference. Proceedings. Springer, 2011
dc.identifier.doi10.1007/978-3-642-23878-9_16
dc.identifier.isbn978-3-642-23877-2
dc.identifier.urihttps://hdl.handle.net/10016/15636
dc.language.isoeng
dc.publisherSpringer
dc.relation.eventdateSeptember 7-9, 2011
dc.relation.eventnumber12
dc.relation.eventplaceNorwich, UK
dc.relation.eventtitleIntelligent Data Engineering and Automated Learning – IDEAL 2011
dc.relation.ispartofseriesLecture notes in computer science, vol. 6936
dc.relation.publisherversionhttp://dx.doi.org/10.1007/978-3-642-23878-9_16
dc.rights© Springer-Verlag Berlin Heidelberg
dc.rights.accessRightsopen access
dc.subject.ecienciaInformática
dc.subject.otherRobust Portfolio Optimization
dc.subject.otherMultiobjective evolutionary optimization
dc.subject.otherResampling
dc.subject.otherSPEA2
dc.titlePortfolio Optimization Using SPEA2 with Resampling
dc.typeconference paper*
dc.type.hasVersionAM*
dspace.entity.typePublication
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