Multi-Objective Portfolio Optimization Strategy Using the SPEA-II Algorithm
In the finance world, the precise selection and optimization of stock portfolios are of paramount importance. This study explores the application of intelligent algorithms, particularly the multi-objective of Strength Pareto Evolutionary Algorithm II (SPEA-II), alongside traditional methods to dete...
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| Format: | Article |
| Language: | English |
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UUM Press
2025-01-01
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| Series: | Journal of ICT |
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| Online Access: | https://e-journal.uum.edu.my/index.php/jict/article/view/24804 |
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| author | Alireza Azarberahman Malihe Tohidinia Hossein Aliakbarzadeh |
| author_facet | Alireza Azarberahman Malihe Tohidinia Hossein Aliakbarzadeh |
| author_sort | Alireza Azarberahman |
| collection | DOAJ |
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In the finance world, the precise selection and optimization of stock portfolios are of paramount importance. This study explores the application of intelligent algorithms, particularly the multi-objective of Strength Pareto Evolutionary Algorithm II (SPEA-II), alongside traditional methods to determine optimal portfolios. Using the monthly stock prices, the Markowitz model is developed, focusing on the return and semi-variance criteria. Realistic constraints are applied to formulate a multi-objective optimization problem. SPEA-II and traditional multi-objective optimization methods are used to solve this problem, resulting in a set of optimal portfolios. The results show that the SPEA-II algorithm can generate portfolios with higher returns and lower risks compared to the Markowitz model and traditional methods, taking into account the complex and nonlinear conditions of the capital market. In addition, the SPEA- II algorithm showed significant efficiency and stability across different frequencies and time periods. The study highlights that the SPEA-II algorithm can serve as an effective and efficient method for stock portfolio selection and optimization, helping investors to identify portfolios with lower risk and higher return.
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| format | Article |
| id | doaj-art-4b30d32fe5b447759e014d6940882fd4 |
| institution | Kabale University |
| issn | 1675-414X 2180-3862 |
| language | English |
| publishDate | 2025-01-01 |
| publisher | UUM Press |
| record_format | Article |
| series | Journal of ICT |
| spelling | doaj-art-4b30d32fe5b447759e014d6940882fd42025-02-06T01:42:12ZengUUM PressJournal of ICT1675-414X2180-38622025-01-0124110.32890/jict2025.24.1.3Multi-Objective Portfolio Optimization Strategy Using the SPEA-II AlgorithmAlireza Azarberahman0Malihe Tohidinia1Hossein Aliakbarzadeh2Department of Accounting, Shandiz Institute of Higher Education, Mashhad, IranDepartment of Finance, Islamic Azad University, Arak Branch, IranDepartment of Accounting, Shandiz Institute of Higher Education, Mashhad, Iran In the finance world, the precise selection and optimization of stock portfolios are of paramount importance. This study explores the application of intelligent algorithms, particularly the multi-objective of Strength Pareto Evolutionary Algorithm II (SPEA-II), alongside traditional methods to determine optimal portfolios. Using the monthly stock prices, the Markowitz model is developed, focusing on the return and semi-variance criteria. Realistic constraints are applied to formulate a multi-objective optimization problem. SPEA-II and traditional multi-objective optimization methods are used to solve this problem, resulting in a set of optimal portfolios. The results show that the SPEA-II algorithm can generate portfolios with higher returns and lower risks compared to the Markowitz model and traditional methods, taking into account the complex and nonlinear conditions of the capital market. In addition, the SPEA- II algorithm showed significant efficiency and stability across different frequencies and time periods. The study highlights that the SPEA-II algorithm can serve as an effective and efficient method for stock portfolio selection and optimization, helping investors to identify portfolios with lower risk and higher return. https://e-journal.uum.edu.my/index.php/jict/article/view/24804Multi-objective strategyPareto frontSPEA-II optimizationMarkowitz model |
| spellingShingle | Alireza Azarberahman Malihe Tohidinia Hossein Aliakbarzadeh Multi-Objective Portfolio Optimization Strategy Using the SPEA-II Algorithm Journal of ICT Multi-objective strategy Pareto front SPEA-II optimization Markowitz model |
| title | Multi-Objective Portfolio Optimization Strategy Using the SPEA-II Algorithm |
| title_full | Multi-Objective Portfolio Optimization Strategy Using the SPEA-II Algorithm |
| title_fullStr | Multi-Objective Portfolio Optimization Strategy Using the SPEA-II Algorithm |
| title_full_unstemmed | Multi-Objective Portfolio Optimization Strategy Using the SPEA-II Algorithm |
| title_short | Multi-Objective Portfolio Optimization Strategy Using the SPEA-II Algorithm |
| title_sort | multi objective portfolio optimization strategy using the spea ii algorithm |
| topic | Multi-objective strategy Pareto front SPEA-II optimization Markowitz model |
| url | https://e-journal.uum.edu.my/index.php/jict/article/view/24804 |
| work_keys_str_mv | AT alirezaazarberahman multiobjectiveportfoliooptimizationstrategyusingthespeaiialgorithm AT malihetohidinia multiobjectiveportfoliooptimizationstrategyusingthespeaiialgorithm AT hosseinaliakbarzadeh multiobjectiveportfoliooptimizationstrategyusingthespeaiialgorithm |