Babaei et al. (2015)Babaei, S., Sepehri, M. M., & Babaei, E. (2015). Multi-objective portfolio optimization considering the dependence structure of asset returns. European Journal of Operational Research, 244(2), 525-539. http://dx.doi.org/10.1016/j.ejor.2015.01.025. http://dx.doi.org/10.1016/j.ejor.2015.01...
|
MOPSO |
threshold constraints; Cardinality constraints; |
S&P500 |
Berutich et al. (2016)Berutich, J. M., López, F., Luna, F., & Quintana, D. (2016). Robust technical trading strategies using GP for algorithmic portfolio selection. Expert Systems with Applications, 46, 307-315. http://dx.doi.org/10.1016/j.eswa.2015.10.040. http://dx.doi.org/10.1016/j.eswa.2015.10...
|
GP |
N/D |
Stock Market Espanha (índice IBEX35) |
Chen & Zhou (2018)Chen, C., & Zhou, Y. (2018). Robust multiobjective portfolio with higher moments. Expert Systems with Applications, 100, 165-181. http://dx.doi.org/10.1016/j.eswa.2018.02.004. http://dx.doi.org/10.1016/j.eswa.2018.02...
|
MOPSO, NSGA II and SPEA 2 |
Long-only constraint |
Stock Market China |
García et al. (2018)García, F., Guijarro, F., & Oliver, J. (2018). Index tracking optimization with cardinality constraint: a performance comparison of genetic algorithms and tabu search heuristics. Neural Computing & Applications, 30(8), 2625-2641. http://dx.doi.org/10.1007/s00521-017-2882-2. http://dx.doi.org/10.1007/s00521-017-288...
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GA and TS |
Cardinality constraints |
OR-Library |
Kumar & Mishra (2017)Kumar, D., & Mishra, K. K. (2017). Portfolio optimization using novel co-variance guided Artificial Bee Colony algorithm. Swarm and Evolutionary Computation, 34(2), 353-369. http://dx.doi.org/10.1016/j.swevo.2016.11.003. http://dx.doi.org/10.1016/j.swevo.2016.1...
|
M-CABC |
Cardinality constraints; threshold constraints; Long only constraint; |
OR-Library |
Li & Bao (2014)Li, Q., & Bao, L. (2014). Enhanced index tracking with multiple time-scale analysis. Economic Modelling, 39, 282-292. http://dx.doi.org/10.1016/j.econmod.2014.03.009. http://dx.doi.org/10.1016/j.econmod.2014...
|
Immunological algorithm |
Cardinality constraints; threshold constraints; Transaction cost; |
Indices: Hang Seng 33, DAX 200, FTSE 100, S & P 100 e Nikkei 225. |
Liu & Zhang (2015)Liu, Y.-J., & Zhang, W.-G. (2015). A multi-period fuzzy portfolio optimization model with minimum transaction lots. European Journal of Operational Research, 10(2), 143-164. http://dx.doi.org/10.1016/j.ejor.2014.10.061. http://dx.doi.org/10.1016/j.ejor.2014.10...
|
GA with Fuzzy |
Cardinality constraints; Transaction cost; Transaction lots; |
Stock market China |
Macedo et al. (2017)Macedo, L. L., Godinho, P., & Alves, M. J. (2017). Mean-semivariance portfolio optimization with multiobjective evolutionary algorithms and technical analysis rules. Expert Systems with Applications, 79, 33-43. http://dx.doi.org/10.1016/j.eswa.2017.02.033. http://dx.doi.org/10.1016/j.eswa.2017.02...
|
NSGA II and SPEA 2 |
Cardinality constraints; Transaction cost; Transaction lots; |
Thompson-Reuters Datastream (agora Eikon) |
Meghwani & Thakur (2018)Meghwani, S. S., & Thakur, M. (2018). Multi-objective heuristic algorithms for practical portfolio optimization and rebalancing with transaction cost. Applied Soft Computing, 67, 865-894. http://dx.doi.org/10.1016/j.asoc.2017.09.025. http://dx.doi.org/10.1016/j.asoc.2017.09...
|
NSGA II, MOEA/D, and GWASF-GA |
Cardinality constraints; Quantity constraint; self-financing constraint; Transaction cost. |
Fama and French Data Library |
Mishra et al. (2016)Mishra, S. K., Panda, G., & Majhi, B. (2016). Prediction based mean-variance model for constrained portfolio assets selection using multiobjective evolutionary algorithms. Swarm and Evolutionary Computation, 28, 117-130. http://dx.doi.org/10.1016/j.swevo.2016.01.007. http://dx.doi.org/10.1016/j.swevo.2016.0...
|
SR-MOPSO |
Cardinality constraints; threshold constraints; |
OR-Library |
Pai (2017)Pai, G. A. V. (2017). Fuzzy decision theory based metaheuristic portfolio optimization and active rebalancing using interval type-2 fuzzy sets. IEEE Transactions on Fuzzy Systems, 25(2), 377-391. http://dx.doi.org/10.1109/TFUZZ.2016.2633972. http://dx.doi.org/10.1109/TFUZZ.2016.263...
|
MODE/Fuzzy and MOES/Fuzzy |
Long-only constraint |
Índice BSE (Bombaim Stock Exchange, Índia) |
Pekár et al. (2016)Pekár, J., Čičková, Z., & Brezina, I. (2016). Portfolio performance measurement using differential evolution. Central European Journal of Operations Research, 24(2), 421-433. http://dx.doi.org/10.1007/s10100-015-0393-8. http://dx.doi.org/10.1007/s10100-015-039...
|
Algorithm of differential evolution |
Non-constrained problem with continuous variables |
Indice Dow Jones |
Rezaei Pouya et al. (2016)Rezaei Pouya, A., Solimanpur, M., & Jahangoshai Rezaee, M. (2016). Solving multi-objective portfolio optimization problem using invasive weed optimization. Swarm and Evolutionary Computation, 28, 42-57. http://dx.doi.org/10.1016/j.swevo.2016.01.001. http://dx.doi.org/10.1016/j.swevo.2016.0...
|
IWO and PSO |
Sector Capitalization; Transaction lots; Cardinality constraints; threshold constraints; |
Tehran Stock Exchange Market in 2013 |
Qu et al. (2017)Qu, B. Y., Zhou, Q., Xiao, J. M., Liang, J. J., & Suganthan, P. N. (2017). Large-scale portfolio optimization using multiobjective evolutionary algorithms and preselection methods. Mathematical Problems in Engineering, 2017, 1-14. http://dx.doi.org/10.1155/2017/4197914. http://dx.doi.org/10.1155/2017/4197914...
|
NMOEA/D |
N/D |
Stock Market China |
Reveiz-Herault (2016)Reveiz-Herault, A. (2016). An active asset management investment process for drawdown-averse investors. Intelligent Systems in Accounting, Finance & Management, 23(1-2), 85-96. http://dx.doi.org/10.1002/isaf.1375. http://dx.doi.org/10.1002/isaf.1375...
|
GA |
Tracking Error Constraints. |
Índice de títulos dos EUA |
Saborido et al. (2016)Saborido, R., Ruiz, A. B., Bermúdez, J. D., Vercher, E., & Luque, M. (2016). Evolutionary multi-objective optimization algorithms for fuzzy portfolio selection. Applied Soft Computing, 39, 48-63. http://dx.doi.org/10.1016/j.asoc.2015.11.005. http://dx.doi.org/10.1016/j.asoc.2015.11...
|
MDRS |
Cardinality constraints |
Stock Market Espanha (índice IBEX35) |
Silva et al. (2015)Silva, A., Neves, R., & Horta, N. (2015). A hybrid approach to portfolio composition based on fundamental and technical indicators. Expert Systems with Applications, 42(4), 2036-2048. http://dx.doi.org/10.1016/j.eswa.2014.09.050. http://dx.doi.org/10.1016/j.eswa.2014.09...
|
GA |
Cardinality constraint; Quantity constraint; Long only constraint; Transaction costs. |
S&P500 |
Vercher & Bermúdez (2015)Vercher, E., & Bermúdez, J. D. (2015). Portfolio optimization using a credibility mean-absolute semi-deviation model. Expert Systems with Applications, 42(20), 7121-7131. http://dx.doi.org/10.1016/j.eswa.2015.05.020. http://dx.doi.org/10.1016/j.eswa.2015.05...
|
GA with Fuzzy |
Cardinality Constraints |
Stock Market Espanha (índice IBEX35) |
Zhang & Liu (2014)Zhang, W. G., & Liu, Y. J. (2014). Credibilitic mean-variance model for multi-period portfolio selection problem with risk control. OR-Spektrum, 36(1), 113-132. http://dx.doi.org/10.1007/s00291-013-0335-6. http://dx.doi.org/10.1007/s00291-013-033...
|
GA with Fuzzy |
self-financing constraint; the Long only constraint |
Stock market Shangai |