Multi-Objective Portfolio Optimization: An Application of the Non-Dominated Sorting Genetic Algorithm III

Multi-Objective Portfolio Optimization: An Application of the Non-Dominated Sorting Genetic Algorithm III

This study evaluates the effectiveness of the Non-dominated Sorting Genetic Algorithm III (NSGA-III) in comparison to the traditional Mean–Variance optimization method for financial portfolio management. Leveraging a dataset of global financial assets, we applied both approaches to optimize portfoli...

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Bibliographic Details
Main Authors: John Weirstrass Muteba Mwamba, Leon Mishindo Mbucici, Jules Clement Mba
Format: Article
Language:English
Published: MDPI AG 2025-01-01
Series:International Journal of Financial Studies
Subjects:
multi-objective optimization
NSGA-III algorithm
portfolio management
higher-order moments
risk–return trade-off
Online Access:https://www.mdpi.com/2227-7072/13/1/15
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