RT Journal Article
SR Electronic
T1 Using MOEAs to Outperform Stock Benchmarks in the Presence of Typical Investment Constraints
JF The Journal of Investing
FD Institutional Investor Journals
SP 60
OP 67
DO 10.3905/joi.2012.21.1.060
VO 21
IS 1
A1 Andrew Clark
A1 Jeff Kenyon
YR 2012
UL https://pm-research.com/content/21/1/60.abstract
AB Portfolio managers are typically constrained by turnover limits, minimum and maximum stock positions, cardinality, a target market capitalization and sometimes the need to hew to a style (such as growth or value). In addition, portfolio managers often use multifactor stock models to choose stocks based upon their respective fundamental data.We use multiobjective evolutionary algorithms (MOEAs) to satisfy the above real-world constraints. The portfolios generated consistently outperform typical performance benchmarks and have statistically significant asset selection.TOPICS: Portfolio theory, portfolio construction, statistical methods