Cultural algorithms (CAs) are one of the metaheuristics which can be adapted in order to work in multiobjective optimization environments. On the other hand, portfolio selection problem (PSP) is a wellknow problem in literature. However, only a few articles have applied evolutionary multi-objective (EMO) algorithms to these problems and articles presenting CAs applied to the PSP have not been found. In this article, we present a bi-objective cultural algorithm (BOCA) which has been applied to the PSP, and obtaining acceptable results in comparison with other well-known EMO algorithms from the literature. The considered criteria of the problem are risk minimization and profit maximization. The different solutions obtained with the BOCA have been compared using max-delta-area metric.
|Number of pages||12|
|Journal||International Journal of Physical Sciences|
|State||Published - 2 Oct 2011|
- Autonomous search
- Constraint programming
- Heuristic search