Stock Portfolio Optimization Using a Combined Approach of Multi Objective Grey Wolf Optimizer and Machine Learning Preselection Methods

Table 5

Comparison of rate of return, stock portfolio risk and return on investment in different years (percentage).

Scenario	Year				Risk
		H&B	NSGA II	MOGWO	H&B	NSGA II	MOGWO	H&B	NSGA II	MOGWO
1	2016	−0.42	62.06	86.99	0.57	1.97	4.02	99.99	101.20	101.66
	2017	−0.26	67.61	93.27	0.48	1.99	4.07	100.01	103.62	105.05
	2018	10.27	72.46	97.73	1.01	2.16	4.28	100.18	106.38	108.84
	2019	38.14	89.25	114.22	1.62	2.45	4.63	101.07	109.30	112.88
	2020	14.88	93.42	118.75	1.57	3.17	5.31	102.40	113.34	118.12
2	2016	−0.32	54.43	92.79	0.57	1.93	4.16	99.99	101.06	101.78
	2017	−0.16	59.92	98.57	0.48	1.96	4.20	100.01	103.20	105.38
	2018	10.37	64.31	103.55	1.01	2.21	4.47	100.19	105.62	109.39
	2019	38.25	81.68	119.31	1.61	2.45	4.73	101.08	108.21	113.68
	2020	14.99	84.75	124.03	1.56	3.20	5.42	102.41	111.88	119.19
3	2016	−0.35	66.64	79.70	0.54	2.09	4.54	99.99	101.28	101.52
	2017	−0.19	73.18	85.76	0.44	2.12	4.50	100.01	103.90	104.64
	2018	10.33	77.80	90.53	0.97	2.32	4.69	100.18	106.86	108.10
	2019	38.21	94.38	106.41	1.58	2.62	4.99	101.07	110.02	111.82
	2020	14.94	98.47	111.24	1.53	3.26	5.68	102.41	114.28	116.68
4	2016	0.01	85.54	110.57	0.51	1.68	3.27	100.00	101.64	102.10
	2017	0.16	91.52	116.29	0.41	1.74	3.26	100.03	104.97	106.41
	2018	10.70	96.11	121.38	0.94	1.91	3.47	100.21	108.69	111.18
	2019	38.57	112.47	136.81	1.54	2.19	3.81	101.12	112.64	116.29
	2020	15.31	116.97	142.50	1.50	2.87	4.51	102.47	117.80	122.72
5	2016	0.01	82.27	109.16	0.51	1.82	3.31	100.00	101.58	102.08
	2017	0.17	88.39	114.81	0.42	1.82	3.32	100.03	104.78	106.33
	2018	10.70	93.24	119.70	0.94	2.08	3.52	100.22	108.38	111.03
	2019	38.57	109.18	135.55	1.54	2.29	3.86	101.12	112.19	116.06
	2020	15.31	113.82	140.98	1.50	3.03	4.54	102.47	117.19	122.43
6	2016	0.05	83.44	109.96	0.52	1.60	3.31	100.00	101.60	102.09
	2017	0.20	89.16	115.64	0.42	1.65	3.31	100.03	104.84	106.37
	2018	10.73	94.06	120.74	0.95	1.80	3.55	100.22	108.47	111.11
	2019	38.60	110.33	136.23	1.55	2.13	3.86	101.13	112.33	116.19
	2020	15.35	114.93	141.89	1.50	2.79	4.53	102.48	117.38	122.60
7	2016	0.15	92.74	118.21	0.47	1.06	2.90	100.00	101.77	102.26
	2017	0.30	98.70	124.72	0.38	1.11	3.00	100.04	105.38	106.87
	2018	10.83	103.42	128.55	0.90	1.28	3.16	100.23	109.40	111.99
	2019	38.70	119.56	144.62	1.51	1.61	3.48	101.14	113.68	117.45
	2020	15.45	124.23	149.55	1.46	2.25	4.20	102.49	119.20	124.28