Multi Objective Portfolio Optimization Models and Its Solution Using Genetic Algorithms

This paper deals with the formulation of portfolio optimization problems involving single and multiple objectives. The survey of various portfolio optimization models is given. The basic concept of Pareto optimality and efficient frontier along with various solution techniques for multi objective portfolio optimization problem (MOPOP) are explained. We used the approach developed by Matthias Ehrgott, Kathrin Klamroth and Christian Schwehm [3] for implementing the MOPOP problem and improved the performance of the portfolio. Examples of a bi-objective and penta objective portfolio optimization problems are considered to illustrate the MOPOP along with numerical results of the solution.