GRASP/Δ: An efficient algorithm for the multi-objective portfolio optimization problem

作者：

Highlights：

• A GRASP/Δ algorithm to optimize in the fuzzy trapezoidal numbers domain.

• Optimization of local search to explore solutions’ neighborhood space.

• An efficient local computation mechanism to update objective values.

• Competitiveness on benchmark compared against state-of-the-art algorithms.

摘要

•A GRASP/Δ algorithm to optimize in the fuzzy trapezoidal numbers domain.•Optimization of local search to explore solutions’ neighborhood space.•An efficient local computation mechanism to update objective values.•Competitiveness on benchmark compared against state-of-the-art algorithms.

论文关键词：Local computation algorithm,GRASP algorithm,Multi-objective portfolio optimization problem,Uncertainty,Trapezoidal fuzzy numbers

论文评审过程：Received 25 March 2022, Revised 1 August 2022, Accepted 19 August 2022, Available online 24 August 2022, Version of Record 27 August 2022.

论文官网地址：https://doi.org/10.1016/j.eswa.2022.118647