ORCID
- Matthew Craven: 0000-0001-9522-6173
Abstract
We analyse a selection hyper-heuristic (SHH) and NSGAII for the multi-objective cardinality constrained portfolio optimisation problem, an NP-hard problem addressing the asset allocation trade-off between return and risk under constraints of the number of assets. We evaluated the performance of the SHH and NSGA-II for cardinality constraints K = {2, 5}. Our results are competitive with those of NSGA-II.
Publication Date
2025-08-31
Event
24th UK Workshop in Computational Intelligence
Acceptance Date
2025-07-15
Deposit Date
2025-09-03
Keywords
Evolutionary Algorithm, Hyper-heuristics, Metaheuristics, Combinatorial Problems, Portfolio Optimisation
Recommended Citation
Soni, R., Craven, M., & Walker, D. (2025) 'A Comparison of a Hyper-Heuristic and an EA on the Portfolio Optimisation Problem', Retrieved from https://pearl.plymouth.ac.uk/secam-research/2164
