Efficient Selection of Investment Portfolios in Real-World Markets: A Multi-Objective Optimization Approach
As financial markets become increasingly complex, optimizing investment portfolios under multiple conflicting objectives has become a central challenge for decision-makers. This paper presents a comprehensive benchmarking framework for multi-objective portfolio optimization based on metaheuristics, designed to operate on real-world financial data. This framework integrates preprocessing, and optimization using four state-of-the-art algorithms: NSGA-II, MOEA/D, SMS-EMOA, and SMPSO. Using historical data from over 11,000 assets listed on U.S. exchanges, including ARCA, NYSE, NASDAQ, OTC, AMEX, and BATS, we define a suite of benchmark scenarios with increasing dimensionality and constraint complexity. Our results highlight algorithmic strengths and limitations, reveal significant trade-offs between return and risk, and demonstrate the effectiveness of multi-objective metaheuristics in constructing diversified, high-performance investment portfolios. Each portfolio is encoded as a real-valued vector combining asset selection and allocation, enabling fine-grained diversification control. All datasets and source code are publicly available to ensure reproducibility.
Authors
- José García-Nieto (ORCID: https://orcid.org/0000-0003-2985-3480)
- Antonio J. Nebro (ORCID: https://orcid.org/0000-0001-5580-0484)
- Antonio J. Hidalgo-Marín
Institutions
- Universidad de Málaga (ES)
- Software (Spain) (ES)
Publication Details
- Journal
- Algorithms
- Published
- 2025-12-24
- DOI
- https://doi.org/10.3390/a19010020
- Primary Topic
- Risk and Portfolio Optimization
- Type
- article
- Field-Weighted Citation Impact
- 0.00
Funders
- European Commission
- Agencia Estatal de Investigación