Influential Article Review – Improved NSGA-II And SPEA 2 Portfolio Optimization

Abstract

This paper examines financial innovation. We present insights from a highly influential paper. Here are the highlights from this paper: In this study, we analyze three portfolio selection strategies for loss-averse investors: semi-variance, conditional value-at-risk, and a combination of both risk measures. Moreover, we propose a novel version of the non-dominated sorting genetic algorithm II and of the strength Pareto evolutionary algorithm 2 to tackle this optimization problem. The effectiveness of these algorithms is compared with two alternatives from the literature from five publicly available datasets. The computational results indicate that the proposed algorithms in this study outperform the others for all the examined performance metrics. Moreover, they can approximate the Pareto front even in cases in which all the other approaches fail. For our overseas readers, we then present the insights from this paper in Spanish, French, Portuguese, and German.