Download or read book Multi objective Evolutionary Methods for Time changing Portfolio Optimization Problems written by Iason Hatzakis and published by . This book was released on 2007 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis is focused on the discovery of efficient asset allocations with the use of evolutionary algorithms. The portfolio optimization problem is a multi-objective optimization problem for the conflicting criteria of risk and expected return. Furthermore the nonstationary nature of the market makes it a time-changing problem in which the optimal solution is likely to change as time advances. Hence the portfolio optimization problem naturally lends itself to an exploration with multi-objective evolutionary algorithms for time-changing environments. Two different risk objectives are treated in this work: the established measure of standard deviation, and the Value-at-Risk. While standard deviation is convex as an objective function, historical Value-at-Risk is non-convex and often discontinuous, making it difficult to approach with most conventional optimization techniques. The value of evolutionary algorithms is demonstrated in this case by their ability to handle the Value-at-Risk objective, since they do not have any convexity or differentiability requirements. The D-QMOO time-changing evolutionary algorithm is applied to the portfolio optimization problem. Part of the philosophy behind D-QMOO is the exploitation of predictability in the optimal solution's motion. This problem however is characterized by minimal or non-existent predictability, since asset prices are hard to forecast. This encourages the development of new time-changing optimization heuristics for the efficient solution of this problem. Both the static and time-changing forms of the problem are treated and characteristic results are presented. The methodologies proposed are verified through comparison with established methods and through the performance of the produced portfolios as compared to the overall market. In general, this work demonstrates the potential for the use of evolutionary algorithms in time-changing portfolio optimization as a tool for portfolio managers and financial engineers.

Download or read book Multi objective Evolutionary Optimization in Time changing Environments written by Iason Hatzakis and published by . This book was released on 2007 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: (Cont.) In parallel, the preservation of diversity ensures that the optimum will be discovered even if the objectives motion is unpredictable. Together these two elements aim to create a well-performing and robust algorithmic architecture. Experiments show that the overall concept functions well and that the anticipatory population increases algorithm performance by up to 30%. Constraint handling methods for evolutionary algorithms are also implemented, since most of the problems treated in this work are constrained. In its final form the constraint handling method applied is a hybrid variant of the Superiority of Feasible Points, which works in a staged manner. Three different real-world applications are explored. Initially a radar telescope array is optimized for cost and performance as a practical example of a static multi-objective constrained problem. Subsequently, two time-changing problems are studied: the design of an industrial controller and the optimal asset allocation for a financial portfolio. These problems serve as examples of applications for time-changing multi-objective evolutionary algorithms and inspire the improvement of the methods proposed in this work.

Download or read book Applications of Multi objective Evolutionary Algorithms written by Carlos A. Coello Coello and published by World Scientific. This book was released on 2004 with total page 792 pages. Available in PDF, EPUB and Kindle. Book excerpt: - Detailed MOEA applications discussed by international experts - State-of-the-art practical insights in tackling statistical optimization with MOEAs - A unique monograph covering a wide spectrum of real-world applications - Step-by-step discussion of MOEA applications in a variety of domains

Download or read book Evolutionary Multiobjective Optimization written by Ajith Abraham and published by Springer Science & Business Media. This book was released on 2005-09-05 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evolutionary Multi-Objective Optimization is an expanding field of research. This book brings a collection of papers with some of the most recent advances in this field. The topic and content is currently very fashionable and has immense potential for practical applications and includes contributions from leading researchers in the field. Assembled in a compelling and well-organised fashion, Evolutionary Computation Based Multi-Criteria Optimization will prove beneficial for both academic and industrial scientists and engineers engaged in research and development and application of evolutionary algorithm based MCO. Packed with must-find information, this book is the first to comprehensively and clearly address the issue of evolutionary computation based MCO, and is an essential read for any researcher or practitioner of the technique.

Download or read book Evolutionary Algorithms for Solving Multi Objective Problems written by Carlos Coello Coello and published by Springer Science & Business Media. This book was released on 2007-08-26 with total page 810 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook is a second edition of Evolutionary Algorithms for Solving Multi-Objective Problems, significantly expanded and adapted for the classroom. The various features of multi-objective evolutionary algorithms are presented here in an innovative and student-friendly fashion, incorporating state-of-the-art research. The book disseminates the application of evolutionary algorithm techniques to a variety of practical problems. It contains exhaustive appendices, index and bibliography and links to a complete set of teaching tutorials, exercises and solutions.

Download or read book Multiobjective Optimization written by Jürgen Branke and published by Springer. This book was released on 2008-10-18 with total page 481 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multiobjective optimization deals with solving problems having not only one, but multiple, often conflicting, criteria. Such problems can arise in practically every field of science, engineering and business, and the need for efficient and reliable solution methods is increasing. The task is challenging due to the fact that, instead of a single optimal solution, multiobjective optimization results in a number of solutions with different trade-offs among criteria, also known as Pareto optimal or efficient solutions. Hence, a decision maker is needed to provide additional preference information and to identify the most satisfactory solution. Depending on the paradigm used, such information may be introduced before, during, or after the optimization process. Clearly, research and application in multiobjective optimization involve expertise in optimization as well as in decision support. This state-of-the-art survey originates from the International Seminar on Practical Approaches to Multiobjective Optimization, held in Dagstuhl Castle, Germany, in December 2006, which brought together leading experts from various contemporary multiobjective optimization fields, including evolutionary multiobjective optimization (EMO), multiple criteria decision making (MCDM) and multiple criteria decision aiding (MCDA). This book gives a unique and detailed account of the current status of research and applications in the field of multiobjective optimization. It contains 16 chapters grouped in the following 5 thematic sections: Basics on Multiobjective Optimization; Recent Interactive and Preference-Based Approaches; Visualization of Solutions; Modelling, Implementation and Applications; and Quality Assessment, Learning, and Future Challenges.

Download or read book Multi Objective Optimization using Evolutionary Algorithms written by Kalyanmoy Deb and published by John Wiley & Sons. This book was released on 2001-07-05 with total page 540 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimierung mit mehreren Zielen, evolutionäre Algorithmen: Dieses Buch wendet sich vorrangig an Einsteiger, denn es werden kaum Vorkenntnisse vorausgesetzt. Geboten werden alle notwendigen Grundlagen, um die Theorie auf Probleme der Ingenieurtechnik, der Vorhersage und der Planung anzuwenden. Der Autor gibt auch einen Ausblick auf Forschungsaufgaben der Zukunft.

Download or read book Efficient Learning Machines written by Mariette Awad and published by Apress. This book was released on 2015-04-27 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Machine learning techniques provide cost-effective alternatives to traditional methods for extracting underlying relationships between information and data and for predicting future events by processing existing information to train models. Efficient Learning Machines explores the major topics of machine learning, including knowledge discovery, classifications, genetic algorithms, neural networking, kernel methods, and biologically-inspired techniques. Mariette Awad and Rahul Khanna’s synthetic approach weaves together the theoretical exposition, design principles, and practical applications of efficient machine learning. Their experiential emphasis, expressed in their close analysis of sample algorithms throughout the book, aims to equip engineers, students of engineering, and system designers to design and create new and more efficient machine learning systems. Readers of Efficient Learning Machines will learn how to recognize and analyze the problems that machine learning technology can solve for them, how to implement and deploy standard solutions to sample problems, and how to design new systems and solutions. Advances in computing performance, storage, memory, unstructured information retrieval, and cloud computing have coevolved with a new generation of machine learning paradigms and big data analytics, which the authors present in the conceptual context of their traditional precursors. Awad and Khanna explore current developments in the deep learning techniques of deep neural networks, hierarchical temporal memory, and cortical algorithms. Nature suggests sophisticated learning techniques that deploy simple rules to generate highly intelligent and organized behaviors with adaptive, evolutionary, and distributed properties. The authors examine the most popular biologically-inspired algorithms, together with a sample application to distributed datacenter management. They also discuss machine learning techniques for addressing problems of multi-objective optimization in which solutions in real-world systems are constrained and evaluated based on how well they perform with respect to multiple objectives in aggregate. Two chapters on support vector machines and their extensions focus on recent improvements to the classification and regression techniques at the core of machine learning.

Download or read book Portfolio Optimization Using Fundamental Indicators Based on Multi Objective EA written by Antonio Daniel Silva and published by Springer. This book was released on 2016-02-11 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different investment models with real constraints equivalents to the ones faced by managers of mutual funds, hedge funds, and pension funds. To validate the present solution two case studies are presented for the SP&500 for the period June 2010 until end of 2012. The simulations demonstrates that stock selection based on financial ratios is a combination that can be used to choose the best companies in operational terms, obtaining returns above the market average with low variances in their returns. In this case the optimizer found stocks with high return on investment in a conjunction with high rate of growth of the net income and a high profit margin. To obtain stocks with high valuation potential it is necessary to choose companies with a lower or average market capitalization, low PER, high rates of revenue growth and high operating leverage

Download or read book Applications Of Multi objective Evolutionary Algorithms written by Carlos A Coello Coello and published by World Scientific. This book was released on 2004-12-08 with total page 791 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an extensive variety of multi-objective problems across diverse disciplines, along with statistical solutions using multi-objective evolutionary algorithms (MOEAs). The topics discussed serve to promote a wider understanding as well as the use of MOEAs, the aim being to find good solutions for high-dimensional real-world design applications. The book contains a large collection of MOEA applications from many researchers, and thus provides the practitioner with detailed algorithmic direction to achieve good results in their selected problem domain.

Download or read book Search Methodologies written by Edmund K. Burke and published by Springer Science & Business Media. This book was released on 2013-10-18 with total page 715 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first edition of Search Methodologies: Introductory Tutorials in Optimization and Decision Support Techniques was originally put together to offer a basic introduction to the various search and optimization techniques that students might need to use during their research, and this new edition continues this tradition. Search Methodologies has been expanded and brought completely up to date, including new chapters covering scatter search, GRASP, and very large neighborhood search. The chapter authors are drawn from across Computer Science and Operations Research and include some of the world’s leading authorities in their field. The book provides useful guidelines for implementing the methods and frameworks described and offers valuable tutorials to students and researchers in the field. “As I embarked on the pleasant journey of reading through the chapters of this book, I became convinced that this is one of the best sources of introductory material on the search methodologies topic to be found. The book’s subtitle, “Introductory Tutorials in Optimization and Decision Support Techniques”, aptly describes its aim, and the editors and contributors to this volume have achieved this aim with remarkable success. The chapters in this book are exemplary in giving useful guidelines for implementing the methods and frameworks described.” Fred Glover, Leeds School of Business, University of Colorado Boulder, USA “[The book] aims to present a series of well written tutorials by the leading experts in their fields. Moreover, it does this by covering practically the whole possible range of topics in the discipline. It enables students and practitioners to study and appreciate the beauty and the power of some of the computational search techniques that are able to effectively navigate through search spaces that are sometimes inconceivably large. I am convinced that this second edition will build on the success of the first edition and that it will prove to be just as popular.” Jacek Blazewicz, Institute of Computing Science, Poznan University of Technology and Institute of Bioorganic Chemistry, Polish Academy of Sciences

Download or read book Data Driven Evolutionary Optimization written by Yaochu Jin and published by Springer Nature. This book was released on 2021-06-28 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: Intended for researchers and practitioners alike, this book covers carefully selected yet broad topics in optimization, machine learning, and metaheuristics. Written by world-leading academic researchers who are extremely experienced in industrial applications, this self-contained book is the first of its kind that provides comprehensive background knowledge, particularly practical guidelines, and state-of-the-art techniques. New algorithms are carefully explained, further elaborated with pseudocode or flowcharts, and full working source code is made freely available. This is followed by a presentation of a variety of data-driven single- and multi-objective optimization algorithms that seamlessly integrate modern machine learning such as deep learning and transfer learning with evolutionary and swarm optimization algorithms. Applications of data-driven optimization ranging from aerodynamic design, optimization of industrial processes, to deep neural architecture search are included.

Download or read book Evolutionary Algorithms for Solving Multi Objective Problems written by Carlos Coello Coello and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 600 pages. Available in PDF, EPUB and Kindle. Book excerpt: Researchers and practitioners alike are increasingly turning to search, op timization, and machine-learning procedures based on natural selection and natural genetics to solve problems across the spectrum of human endeavor. These genetic algorithms and techniques of evolutionary computation are solv ing problems and inventing new hardware and software that rival human designs. The Kluwer Series on Genetic Algorithms and Evolutionary Computation pub lishes research monographs, edited collections, and graduate-level texts in this rapidly growing field. Primary areas of coverage include the theory, implemen tation, and application of genetic algorithms (GAs), evolution strategies (ESs), evolutionary programming (EP), learning classifier systems (LCSs) and other variants of genetic and evolutionary computation (GEC). The series also pub lishes texts in related fields such as artificial life, adaptive behavior, artificial immune systems, agent-based systems, neural computing, fuzzy systems, and quantum computing as long as GEC techniques are part of or inspiration for the system being described. This encyclopedic volume on the use of the algorithms of genetic and evolu tionary computation for the solution of multi-objective problems is a landmark addition to the literature that comes just in the nick of time. Multi-objective evolutionary algorithms (MOEAs) are receiving increasing and unprecedented attention. Researchers and practitioners are finding an irresistible match be tween the popUlation available in most genetic and evolutionary algorithms and the need in multi-objective problems to approximate the Pareto trade-off curve or surface.

Download or read book Handbook of Natural Computing written by Grzegorz Rozenberg and published by Springer. This book was released on 2012-07-09 with total page 2052 pages. Available in PDF, EPUB and Kindle. Book excerpt: Natural Computing is the field of research that investigates both human-designed computing inspired by nature and computing taking place in nature, i.e., it investigates models and computational techniques inspired by nature and also it investigates phenomena taking place in nature in terms of information processing. Examples of the first strand of research covered by the handbook include neural computation inspired by the functioning of the brain; evolutionary computation inspired by Darwinian evolution of species; cellular automata inspired by intercellular communication; swarm intelligence inspired by the behavior of groups of organisms; artificial immune systems inspired by the natural immune system; artificial life systems inspired by the properties of natural life in general; membrane computing inspired by the compartmentalized ways in which cells process information; and amorphous computing inspired by morphogenesis. Other examples of natural-computing paradigms are molecular computing and quantum computing, where the goal is to replace traditional electronic hardware, e.g., by bioware in molecular computing. In molecular computing, data are encoded as biomolecules and then molecular biology tools are used to transform the data, thus performing computations. In quantum computing, one exploits quantum-mechanical phenomena to perform computations and secure communications more efficiently than classical physics and, hence, traditional hardware allows. The second strand of research covered by the handbook, computation taking place in nature, is represented by investigations into, among others, the computational nature of self-assembly, which lies at the core of nanoscience, the computational nature of developmental processes, the computational nature of biochemical reactions, the computational nature of bacterial communication, the computational nature of brain processes, and the systems biology approach to bionetworks where cellular processes are treated in terms of communication and interaction, and, hence, in terms of computation. We are now witnessing exciting interaction between computer science and the natural sciences. While the natural sciences are rapidly absorbing notions, techniques and methodologies intrinsic to information processing, computer science is adapting and extending its traditional notion of computation, and computational techniques, to account for computation taking place in nature around us. Natural Computing is an important catalyst for this two-way interaction, and this handbook is a major record of this important development.

Download or read book Methods of Mathematical Finance written by Ioannis Karatzas and published by Springer Science & Business Media. This book was released on 1998-08-13 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is a sequel to Brownian Motion and Stochastic Calculus by the same authors. Within the context of Brownian-motion- driven asset prices, it develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets. The latter topic is extended to a study of equilibrium, providing conditions for the existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the text. This monograph should be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options. Also available by Ioannis Karatzas and Steven E. Shreve, Brownian Motion and Stochastic Calculus, Second Edition, Springer-Verlag New York, Inc., 1991, 470 pp., ISBN 0-387- 97655-8.

Download or read book Robust Portfolio Optimization and Management written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2007-04-27 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University

Download or read book Multi Period Trading Via Convex Optimization written by Stephen Boyd and published by . This book was released on 2017-07-28 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph collects in one place the basic definitions, a careful description of the model, and discussion of how convex optimization can be used in multi-period trading, all in a common notation and framework.