Finding the Efficient Frontier for a Mixed Integer Portfolio Choice Problem Using a Multiobjective Algorithm
Abstract: We propose a computational procedure to find the efficient frontier for the standard Markowitz mean-variance model with discrete variables. The integer constraints limit on the one hand the portfolio to contain a predetermined number of assets and, on the other hand, the proportion of the portfolio held in a given asset. We adapt the multiobjective algorithm NSGA for solving the problem. The algorithm ranks the solutions of each generation in layers based on Pareto non-domination. We have applied the procedure in sixty assets of ATHEX. We have also compared the algorithm with a single genetic algorithm. The computational results indicate that the procedure is promising for this class of problems.
Cite this paper: nullK. ANAGNOSTOPOULOS and G. MAMANIS, "Finding the Efficient Frontier for a Mixed Integer Portfolio Choice Problem Using a Multiobjective Algorithm," iBusiness, Vol. 1 No. 2, 2009, pp. 99-105. doi: 10.4236/ib.2009.12013.
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