Grasp/ [[Equation]]: An Efficient Algorithm for the Multi-Objective Portfolio Optimization Problem

20 Pages Posted: 30 Mar 2022

See all articles by Alejandro Estrada-Padilla

Alejandro Estrada-Padilla

affiliation not provided to SSRN

Claudia Gómez-Santillán

affiliation not provided to SSRN

Héctor Joaquín Fraire-Huacuja

affiliation not provided to SSRN

Laura Cruz-Reyes

affiliation not provided to SSRN

Nelson Rangel-Valdez

affiliation not provided to SSRN

María Lucila Morales-Rodríguez

affiliation not provided to SSRN

Héctor J. Puga-Soberanes

affiliation not provided to SSRN

Abstract

The multi-objective portfolio optimization problem with fuzzy trapezoidal parameters is a variant of the classical portfolio optimization NP-hard problem that considers the uncertainty generated by the variability in the project benefits, resources consumed, and resources available. To the best of our knowledge, there are several reports of solutions to this variant of the problem using multi-objective evolutionary algorithms (MOEAS). In this work, a non-evolutionary solution GRASP/∆ algorithm that includes a mechanism to efficiently predict the objective values of the solutions in the search space process is proposed. The results with hard instances of 25,50,75 and 100 projects show that the proposed algorithm is competitive alternative regard to three evolutionary state-of-the-art algorithms. These results were confirmed with parametric and non-parametric hypothesis tests, which shows our approach's feasibility. In addition, detailed pseudocodes are included to support the reproducibility of the proposed algorithms.

Keywords: Multi-objective optimization problems, Local search metaheuristic, Constructive heuristic, Combinatorial Algorithms

Suggested Citation

Estrada-Padilla, Alejandro and Gómez-Santillán, Claudia and Fraire-Huacuja, Héctor Joaquín and Cruz-Reyes, Laura and Rangel-Valdez, Nelson and Morales-Rodríguez, María Lucila and Puga-Soberanes, Héctor J., Grasp/ [[Equation]]: An Efficient Algorithm for the Multi-Objective Portfolio Optimization Problem. Available at SSRN: https://ssrn.com/abstract=4070763 or http://dx.doi.org/10.2139/ssrn.4070763

Alejandro Estrada-Padilla

affiliation not provided to SSRN ( email )

No Address Available

Claudia Gómez-Santillán

affiliation not provided to SSRN ( email )

No Address Available

Héctor Joaquín Fraire-Huacuja

affiliation not provided to SSRN ( email )

No Address Available

Laura Cruz-Reyes

affiliation not provided to SSRN

Nelson Rangel-Valdez (Contact Author)

affiliation not provided to SSRN ( email )

No Address Available

María Lucila Morales-Rodríguez

affiliation not provided to SSRN ( email )

No Address Available

Héctor J. Puga-Soberanes

affiliation not provided to SSRN ( email )

No Address Available

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