A Multi-Period Constrained Multi-Objective Evolutionary Algorithm with Orthogonal Learning for Solving the Complex Carbon Neutral Stock Portfolio Optimization Model  

作　　者：CHEN Yinnan YE Lingjuan LI Rui ZHAO Xinchao 

机构地区：[1]School of Science,Beijing University of Posts and Telecommunications,Beijing 100876,China [2]Harbin Institute of Technology(Shenzhen),Shenzhen 518055,China

出　　处：《Journal of Systems Science & Complexity》2023年第2期686-715,共30页系统科学与复杂性学报（英文版）

基　　金：supported by the National Natural Science Foundation of China under Grant No.61973042;Beijing Natural Science Foundation under Grant No.1202020。

摘　　要：Financial market has systemic complexity and uncertainty.For investors,return and risk often coexist.How to rationally allocate funds into different assets and achieve excess returns with effectively controlling risk are main problems to be solved in the field of portfolio optimization(PO).At present,due to the influence of modeling and algorithm solving,the PO models established by many researchers are still mainly focused on single-stage single-objective models or single-stage multiobjective models.PO is actually considered as a multi-stage multi-objective optimization problem in real investment scenarios.It is more difficult than the previous single-stage PO model for meeting the realistic requirements.In this paper,the authors proposed a mean-improved stable tail adjusted return ratio-maximum drawdown rate(M-ISTARR-MD)PO model which effectively characterizes the real investment scenario.In order to solve the multi-stage multi-objective PO model with complex multi-constraints,the authors designed a multi-stage constrained multi-objective evolutionary algorithm with orthogonal learning(MSCMOEA-OL).Comparing with four well-known intelligence algorithms,the MSCMOEA-OL algorithm has competitive advantages in solving the M-ISTARR-MD model on the proposed constructed carbon neutral stock dataset.This paper provides a new way to construct and solve the complex PO model.

关 键 词：Constrained multi-objective optimization carbon-neutral multi-period constrained multiobjective evolutionary algorithm orthogonal learning portfolio optimization 

分 类 号：F830.9[经济管理—金融学] TP18[自动化与计算机技术—控制理论与控制工程]