The algorithms included in the experimentation are:
- MA: a memetic algorithm based on IBEA, using local search (parameterized by probability of application p_LS) and an elite memory of solutions with high Sharpe index (parameterized by probability of use p_EM). The use of these components is governed by two parameters, IG and FG, respectively determining the initial generation and the final generation in which these can be applied.
- NSGA2: Nondominated Sorting Genetic Algorithm II
- SPEA2: Strength Pareto Evolutionary Algorithm 2
- HYPE: Hypervolume
Estimation Algorithm for Multiobjective
Optimization
- SHV: Sampling-based HyperVolume-oriented
Algorithm
**BibTeX:**
@InProceedings{colomine23epoch,
authors = "C. Cotta and F. Colomine Dur\'an and A.J. Fern\'andez Leiva",
title = "Epoch-based Application of Problem-Aware Operators in a Multiobjective Memetic Algorithm for Portfolio Optimization",
booktitle = "Applications of Evolutionary Computation – EvoApplications 2023",
editor = "J. Correia and S. Smith and R. Qaddoura",
series = "Lecture Notes in Computer Science",
publisher = "Springer Nature Switzerland AG",
year = "2023"
}
