文献类型：期刊文献

英文题名：Application of a Multi-Objective Optimization Algorithm Based on Differential Grouping to Financial Asset Allocation

作者：Jia, Peng[1];Jiang, Qiting[1];Wang, Haodong[1];Guo, Weibin[1];Ding, Weichao[1];Wang, Zhe[1]

机构：[1]East China Univ Sci & Technol, Sch Informat Sci & Engn, Shanghai 200237, Peoples R China

年份：2025

卷号：15

期号：21

外文期刊名：APPLIED SCIENCES-BASEL

收录：;EI(收录号：20254619502980);WOS:【SCI-EXPANDED(收录号:WOS:001612445600001)】；

基金：This work is supported by the National Natural Science Foundation of China under Grant 62403201; Shanghai Pilot Program for Basic Research under Grant 22TQ1400100-16; and Nature Science Foundation of Shanghai under Grant 24ZR1415200 and Grant 23ZR1414900.

语种：英文

外文关键词：multi-objective optimization; evolutionary algorithms; differential grouping; external archiving; financial asset allocation

摘要：In the era of big data and rapid information growth, investors encounter a complex financial environment characterized by extensive data, conflicting investment objectives, and markets that are unpredictable due to economic and policy fluctuations. Hence, asset selection is vital for both investors and researchers. Multi-objective optimization algorithms balance multiple objectives to find optimal solutions and are widely used in engineering, economics, etc. This paper proposes a multi-objective decomposition optimization algorithm integrated with differential grouping (DG-MOEA/D). Initially, the algorithm employs the recursive spectral clustering differential grouping (RDGSC) technique to identify dependencies among variables, grouping them to reduce interactions between the variables. It then uses MOEA/D-UTEA to optimize each group, with an external archive for storing and updating solutions. Experimental results on the DTLZ and LSMOP test functions show that the DG-MOEA/D algorithm greatly outperforms the other seven comparison algorithms. When used in real-world scenarios like stock and bond asset allocation, the algorithm continues to outperform other methods, demonstrating its significant advantages in practical applications.