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Published at December 5

Epoch-based Application of Problem-Aware Operators in a Multiobjective Memetic Algorithm for Portfolio Optimization

cs.NE

Released Date: December 5, 2024

Authors: Feijoo Colomine Durán¹, Carlos Cotta², Antonio J. Fernández-Leiva³

Aff.: ¹Universidad Nacional Experimental del Táchira (UNET); ²ETSI Informática, Universidad de Málaga; ³ITIS Software, Universidad de Málaga

Arxiv: http://arxiv.org/pdf/2412.03981v1

		$P_{LS}=1,P_{EM}=0$
		Sharpe index					hypervolume					GD
$IG$	$FG$	$x^{*}$	$\tilde{x}$	QD	CQD		$x^{*}$	$\tilde{x}$	QD	CQD		$x^{*}$	$\tilde{x}$	QD	CQD
0	10	0.408	0.406	0.001	0.139%	$\blacksquare$	0.838	0.825	0.005	0.659%	$\bullet$	0.669	1.156	0.193	15.938%	$\blacksquare$
0	20	0.408	0.406	0.000	0.097%	$\bullet$	0.839	0.830	0.005	0.560%		0.641	0.896	0.084	9.281%	$\star$
0	30	0.408	0.407	0.000	0.118%		0.841	0.832	0.005	0.621%	$\star$	0.644	0.970	0.188	18.709%
0	40	0.408	0.407	0.000	0.102%		0.839	0.831	0.003	0.362%		0.668	0.907	0.160	16.794%
0	50	0.408	0.407	0.000	0.071%	$\star$	0.838	0.831	0.005	0.576%		0.746	1.031	0.131	12.658%	$\circ$
10	20	0.407	0.405	0.000	0.116%	$\blacksquare$	0.834	0.824	0.004	0.480%	$\blacksquare$	0.933	1.460	0.201	14.452%	$\blacksquare$
10	30	0.407	0.405	0.001	0.145%	$\blacksquare$	0.837	0.825	0.002	0.286%	$\blacksquare$	0.878	1.315	0.140	10.421%	$\blacksquare$
10	40	0.407	0.406	0.001	0.134%	$\blacksquare$	0.831	0.825	0.004	0.471%	$\blacksquare$	0.870	1.286	0.223	16.750%	$\blacksquare$
10	50	0.407	0.406	0.001	0.125%	$\blacksquare$	0.837	0.825	0.004	0.446%	$\bullet$	0.829	1.335	0.212	15.758%	$\blacksquare$
20	30	0.405	0.404	0.001	0.168%	$\blacksquare$	0.832	0.818	0.004	0.445%	$\blacksquare$	1.206	1.742	0.176	10.374%	$\blacksquare$
20	40	0.406	0.404	0.001	0.153%	$\blacksquare$	0.831	0.817	0.003	0.331%	$\blacksquare$	1.003	1.682	0.206	12.107%	$\blacksquare$
20	50	0.406	0.404	0.001	0.220%	$\blacksquare$	0.827	0.815	0.004	0.510%	$\blacksquare$	1.097	1.752	0.274	14.768%	$\blacksquare$
30	40	0.405	0.403	0.001	0.164%	$\blacksquare$	0.822	0.809	0.005	0.623%	$\blacksquare$	1.489	2.093	0.299	14.522%	$\blacksquare$
30	50	0.405	0.403	0.001	0.149%	$\blacksquare$	0.824	0.809	0.006	0.684%	$\blacksquare$	1.474	2.069	0.177	8.285%	$\blacksquare$
40	50	0.405	0.402	0.001	0.171%	$\blacksquare$	0.822	0.804	0.007	0.847%	$\blacksquare$	1.378	2.209	0.314	14.724%	$\blacksquare$
		$P_{LS}=0,P_{EM}=1$