An Evolutionary Computation Approach to Scenario-Based Risk-Return Portfolio Optimization for General Risk Measures

Due to increasing complexity and non-convexity of financial engineering problems, biologically inspired heuristic algorithms gained significant importance especially in the area of financial decision optimization. In this paper, the stochastic scenario-based risk-return portfolio optimization problem is analyzed and solved with an evolutionary computation approach. The advantage of applying this approach is the creation of a common framework for an arbitrary set of loss distribution-based risk measures, regardless of their underlying structure. Numerical results for three of the most commonly used risk measures conclude the paper.

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