A multi-objective genetic stock portfolio mining approach with investor´s requests

Since various objective functions should be considered for optimizing the portfolio, this study proposes a multi-objective genetic portfolio optimization approach with user´s requests for deriving Pareto solutions. The two objective functions used in this study are return on investment and suitability of a portfolio. The suitability of a chromosome consists of a portfolio penalty and an investment capital penalty, which are used to reflect the satisfaction degrees of user´s requests. Experiments on real datasets were conducted to show the merits of the proposed approach.