Mean-semivariance portfolio optimization with multiobjective evolutionary algorithms and technical analysis rules
作者：
Highlights：
• NSGA II outperforms SPEA 2 with wider fronts and better relations return-risk.
• Technical Analysis shows added value to trading when compared to Buy & Hold.
• Bollinger Bands is the strategy of election with strong positive net results.
摘要
•NSGA II outperforms SPEA 2 with wider fronts and better relations return-risk.•Technical Analysis shows added value to trading when compared to Buy & Hold.•Bollinger Bands is the strategy of election with strong positive net results.
论文关键词：Multiobjective optimization,Evolutionary algorithms,Stock portfolio,Mean-semivariance,Technical analysis
论文评审过程：Received 25 December 2016, Revised 20 February 2017, Accepted 21 February 2017, Available online 22 February 2017, Version of Record 28 February 2017.
论文官网地址：https://doi.org/10.1016/j.eswa.2017.02.033
