Multi-attribute decision making applied to financial portfolio optimization problem

作者：

Highlights：

• Proposition of a mean-CVaR portfolio optimization model with integer variables.

• Development of an evolutionary algorithm for solving the proposed model.

• Comparison of proposed and existing multi-attribute decision-making methods.

• Trading simulations show that investor profiles affect gains provided by the method.

摘要

•Proposition of a mean-CVaR portfolio optimization model with integer variables.•Development of an evolutionary algorithm for solving the proposed model.•Comparison of proposed and existing multi-attribute decision-making methods.•Trading simulations show that investor profiles affect gains provided by the method.

论文关键词：Portfolio optimization,Multiobjective optimization,Multi-attribute decision-making methods

论文评审过程：Received 28 October 2019, Revised 9 March 2020, Accepted 3 May 2020, Available online 11 May 2020, Version of Record 20 May 2020.

论文官网地址：https://doi.org/10.1016/j.eswa.2020.113527