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<p>In this work, we deal with the problem of computing a comprehensive front of efficient solutions in multi-objective portfolio optimization problems in presence of sparsity constraints. We start the discussion pointing out some weaknesses of the classical linear scalarization approach when applied to the considered class of problems. We are then motivated to propose a suitable algorithmic framework that is designed to overcome these limitations: the novel algorithm combines a gradient-based exploration-refinement strategy with a tailored initialization scheme based on memetic or multi-start descent procedures. Thorough computational experiments highlight how the proposed method is far superior to both linear scalarization and popular genetic algorithms.</p>

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On the computation of the efficient frontier in advanced sparse portfolio optimization

  • 期刊论文

  • 出版模式：

    开放获取

  • 发表日期：

    2025年9月11日

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  • Arturo Annunziata,
  • Matteo Lapucci,
  • Pierluigi Mansueto,
  • Davide Pucci

摘要

In this work, we deal with the problem of computing a comprehensive front of efficient solutions in multi-objective portfolio optimization problems in presence of sparsity constraints. We start the discussion pointing out some weaknesses of the classical linear scalarization approach when applied to the considered class of problems. We are then motivated to propose a suitable algorithmic framework that is designed to overcome these limitations: the novel algorithm combines a gradient-based exploration-refinement strategy with a tailored initialization scheme based on memetic or multi-start descent procedures. Thorough computational experiments highlight how the proposed method is far superior to both linear scalarization and popular genetic algorithms.