Application of multiobjective evolutionary techniques for robust portfolio optimization

• Autores: Sandra Garcia Rodriguez
• Directores de la Tesis: Inés María Galván León (dir. tes.), David Quintana Montero (dir. tes.)
• Lectura: En la Universidad Carlos III de Madrid ( España ) en 2012
• Idioma: inglés
• Tribunal Calificador de la Tesis: José Manuel Molina López (presid.), David Camacho Fernández (secret.), António Gaspar Lopes da Cunha (voc.)
• Materias:
  • Matemáticas
    • Ciencia de los ordenadores
      • Inteligencia artificial
• Enlaces
  • Tesis en acceso abierto en: e-Archivo
• Resumen

  • The choice of the right way to distribute investor’s wealth among different investment alternatives is one of the basic problems that investors must face. Each of these possible combinations, known as financial portfolios, have some characteristics that make them more or less desirable to the investor depending on his preferences. Therefore, this is the reason why the problem of determining the best proportion of capital to assign to each investment asset, the portfolio optimization, has been one of the core topics in financial management research. Academic literature on this subject is very large and mostly based on the seminal work of H. Markowitz, who suggests the evaluation of portfolios by computing their associated return and risk. Hence, the mentioned problem can be considered as a multiobjective optimization problem where the goal is both maximizing return and minimizing risk of the portfolio at the same time. The opposing nature of these objectives provokes that maximizing one of them increments the other too, and viceversa. Thereby, the solution does not consist of a single asset allocation, but a range of them. These portfolios are the ones with the best risk/return trade-off found and define the Efficient Frontier. Thus, this set will be used by the decision maker to choose the portfolio that suits him better according to his preferences. Moreover, when this problem is studied within the real financial world, some constraints should be considered that cannot be hold by traditional optimization methods. This is the reason why we use evolutionary computation as it provides the flexibility necessary to deal with real-world scenarios. One of the major reasons why some practitioners mistrust quantitative methods based on modern portfolio theory is the lack of robustness that show their solutions. Unfortunately, these portfolios may be very dependant on the estimates of parameters that are unlikely accurate due to, for instance, the presence of outliers. When it is the case, portfolios may behave in a unexpected way driving to wrong investment decisions. However, even if there are many methods to improve robustness in portfolios, this quantity is significantly reduced when also real-world constraints must be considered. For this reason, we face the robust portfolio optimization problem using four evolutionary multiobjective algorithms (MOEAs). Moreover, we study three approaches that, adapted to MOEAs, are able to generate portfolios with more stability than the ones provided by standard versions or the robust strategy proposed by [Plerou et al., 2002]. The first one includes an explicit objective to measure robustness. The second technique handles robustness implicitly evaluating risk and return of new portfolios under different parameters each generation. The last one improves the previous approach adding a time-stamping mechanism to encourage stable individuals. Finally, since our aim is to deal with the lack robustness, we suggest five new metrics that we can utilise in this context, which were used to evaluate robustness of results. --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------