SAIPO-TAIPO and Genetic Algorithms for Investment Portfolios

Round 1

Reviewer 1 Report

All punctuation marks after the equations are omitted. The word "where" after the euations must not be capitalized for this is a part of the previous sentence. There is a double "where" around equation (20).

On Page 7, the numbers of equations differ from the rest of the text.

The Conclusion is very formal and does not give us a clue how the results can be used for practice and further research.

Both sections "Background" and "Related works" actually describe the same: the background or the related works. I'd recommend the authors to merge these sections and organize two subsections: related models and related algorithms.

 

The introduction is very short.

 

Nevertheless, this is a high-quality paper. After some correction, it can be printed.

 

Author Response

Dear Reviewer:

Thanks a lot for your observations; they help to improve our manuscript. We organize section 2 in two subsections, and enhance the conclusions. In the attachmente you will find the modifications related to your observations.

Again, thanks a lot

Author Response File: Author Response.pdf

Reviewer 2 Report

This paper presents three algorithms to solve the portfolio optimization problem (potential benefits are often maximised and risks minimised). The proposed algorithms use the Sharpe Ratio as the main metric to solve by combining these two objectives of the problem into one: maximising the Sharpe Ratio. Specifically, simple genetic algorithms, simulated annealing and a threshold accepting were used. The algorithms were tested using data sets taken from the Mexican Stock Exchange and then the results were compared with other mathematical models. The final results obtained by the proposed algorithms were good.

The math development is sound and the case study is described in the necessary detail. I found this paper so interesting, it provides a useful contribution to its area of research.

But, before the article can be published, some details must be checked:

-Line 445 of the text needs to be revised.

-A careful reading of the work should be carried out.

-On line 415 of the text, it should be noted the difference in results between the TAIPO, SAIPO, TA algorithms and the GENPO-Sharpe algorithm.

-The presentation of the results obtained in table 5 are confusing and need to be better explained.

- Please add some sentences about future analysis.

-Only few references from the last 5 years are included. In addition, the Genetic and Simulated Annealing algorithms used in the paper are basic versions and there are recent references where they propose, among other techniques, Differential Evolution for Portfolio Optimization Problem. The bibliography is my major drawback in this work and it should be substantially revised and updated with those from recent years and of most interest to the work and to the authors.

Author Response

Dear Reviewer:

Thanks a lot for your observations; they help to improve our manuscript. We include references and organize section 2 in two subsections: first describing the classic Genetic Algorithms, Simulated Annealing and Threshold; and another subsection with the related works. Besides, we enhance the conclusions. The following table describes the modifications related to your observations.

Once again, thanks a lot.

Author Response File: Author Response.pdf

Round 2

Reviewer 2 Report

The paper is revised according to the comments of the reviewer. The quality of the presentation of the paper has been significantly improved. It can be recommended for acceptance.