Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)

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Improved Large-Scale Multi-objective Optimization Algorithm for Portfolio Management

Authors
Shengtao Zhang1, *, Xuyang Li1, Jie Zhang1, Wanqing Li1
1School of Information Engineering, Huzhou University, Huzhou, 313000, China
*Corresponding author. Email: zjhu_zst@126.com
Corresponding Author
Shengtao Zhang
Available Online 10 August 2023.
DOI
10.2991/978-94-6463-198-2_85How to use a DOI?
Keywords
large-scale multi-objective optimization; portfolio management; immune cloning
Abstract

For securities investors, the return and risk of investment are the two main aspects of their concern. However, in real life, the vast majority of investors are not professionally trained, which makes them confused about portfolio selection in the face of tens of thousands of investment targets in the financial market. The multi-objective optimization problem of investment return and risk is solved by using an improved large-scale multi-objective optimization algorithm. From experimental results, it can be seen that the improved algorithm can get better results than previous algorithms on the large-scale multi-objective problems. The portfolio with the highest Sharpe ratio produced by the improved algorithm outperforms the CSI 300 index over the same period in terms of return and maximum retracement. It shows that the improved algorithm can achieve the selection of the investors’ ideal portfolio from a larger number of stocks.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)
Series
Atlantis Highlights in Computer Sciences
Publication Date
10 August 2023
ISBN
978-94-6463-198-2
ISSN
2589-4900
DOI
10.2991/978-94-6463-198-2_85How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Shengtao Zhang
AU  - Xuyang Li
AU  - Jie Zhang
AU  - Wanqing Li
PY  - 2023
DA  - 2023/08/10
TI  - Improved Large-Scale Multi-objective Optimization Algorithm for Portfolio Management
BT  - Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)
PB  - Atlantis Press
SP  - 827
EP  - 836
SN  - 2589-4900
UR  - https://doi.org/10.2991/978-94-6463-198-2_85
DO  - 10.2991/978-94-6463-198-2_85
ID  - Zhang2023
ER  -