An Expert System Designed to Be Used with MOEAs for Efficient Portfolio Selection
This study presents an Expert System specially designed to be used with Multiobjective Evolutionary Algorithms (MOEAs) for the solution of the portfolio selection problem. The validation of the proposed hybrid System is done by using data sets from Hang Seng 31 in Hong Kong, DAX 100 in Germany and FTSE 100 in UK. The performance of the proposed system is assessed in comparison with the Non-dominated Sorting Genetic Algorithm II (NSGAII). The evaluation of the performance is based on different performance metrics that evaluate both the proximity of the solutions to the Pareto front and their dispersion on it. The results show that the proposed hybrid system is efficient for the solution of this kind of problems.
Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1091022Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1439
 Chang, T.-J., Meade, N., Beasley, J.E. and Sharaiha, Y.M., "Heuristics for Cardinality Constrained Portfolio Optimisation" Comp. & Opns. Res. 27 (2000) 1271-1302.
 Deb K., Pratab A., Agarwal S., and Meyarivan T. (2002), "A Fast and Elitist Multiobjective Genetic Algorithm: NSGA‐II,” IEEE Trans. Evol. Comput., vol. 6, pp. 182–197, Apr. 2002.
 Durillo, J. J. & Nebro, A. J. (2011). jMetal: A Java Framework for Multi-Objective Optimization, Advances in Engineering Software 42, 760–771
 Fleischer, M. (2003). The measure of Pareto optima: Applications to Multi-Objective Metaheuristics, in Evolutionary Multiobjective Optimization. ser. Lecture Notes in Computer Science, C. M. Fonseca et al., Eds. Berlin, Germany: Springer-Verlag, vol. 2632, pp. 519–533.
 Huband, S., Hingston, P., While, L. & Barone, L. (2003). An Evolution Strategy with Probabilistic Mutation for Multi-Objective Optimization, in Proc. Congr. Evol. Comput., vol. 4, pp. 2284–2291.
 Hurson Ch, Zopounidis C (1995) On the Use of Multicriteria Decision Aid Methods to Portfolio Selection. J Euro Asian Manage 1(2):69–94
 Matsatsinis, N.E., Doumpos, M. and Ζopounidis, C. "Knowledge Acquisition and Representation for Expert Systems in the Field of Financial Analysis”, Expert Systems With Applications, Vol. 12, No. 2, pp. 247-262, 1997
 Metaxiotis, K. and Liagkouras, K. (2012) Multiobjective Evolutionary Algorithms for Portfolio Management: A Comprehensive Literature Review, Expert Systems with Applications 39, 11685–11698.
 Montazemi, A. R. and Chan, L., "An Analysis of the Structure of Expert Knowledge”, European Journal of Operational Research 45 (1990) 275-292.
 O’ Leary, D.E. (1995) AI in Accounting, Finance and Management, International Journal of Intelligent Systems in Accounting, Finance and Management 4, 149-153.
 Siskos, Y., & Spyridakos, A. (1999). Intelligent Multicriteria Decision Support: Overview and Perspectives. European Journal of Operational Research, 113, 236–246.
 Xidonas, P., Ergazakis, E., Ergazakis, K., Metaxiotis, K., Askounis, D., Mavrotas, G., et al. (2009). On the Selection of Equity Securities: An Expert Systems Methodology and an Application on the Athens Stock Exchange. Expert Systems with Applications, 36, 11966–11980.
 Xidonas, P., Mavrotas, G., Zopounidis, C., & Psarras, J. (2011). IPSSIS: An Integrated Multicriteria Decision Support System for Equity Portfolio Construction and Selection. European Journal of Operational Research, 210(2), 398–409.
 Xidonas, P., & Psarras, J. (2009). Equity Portfolio Management within the MCDM Frame: A Literature Review. International Journal of Banking, Accounting and Finance, 1(3), 285–309.
 Zitzler, E., & Thiele, L. (1999). Multiobjective Evolutionary Algorithms: A Comparative Case Study and the Strength Pareto Approach. IEEE Transactions on Evolutionary Computation, 3 (4), 257–271.
 Zitzler, E., Thiele, L., Laumanns, M., Fonseca, C.M. & Da Fonseca, V.G. (2003). Performance Assessment of Multiobjective Optimizers: An Analysis and Review. IEEE Transactions on Evolutionary Computation, 7(2):117–132.
 Zopounidis, C., & Doumpos, M. (2000). Intelligent Decision Aiding Systems Based On Multiple Criteria for Financial Engineering. Dordrecht: Kluwer Academic Publishers.