Before revision:  We use MOEAs to satisfy the above real-world constraints and consistently outperform typical performance benchmarks . Our first MOEA solves all the constraints (except turnover and position limits) and generates feasible portfolios.The second MOEA tests each of the potential feasible portfolios of the first MOEA by trading off mean return, variance, turnover and position limits. The best portfolio is chosen from these feasible portfolios and becomes the portfolio of choice for the next quarter. The MOEAs are applied to the following problems -- generate a series of monthly portfolios that outperform the S P 500 over the past 30 years and generate a set of monthly portfolios that outperform the Russell 1000 Growth index over the last 15 years.
After revision:  We use MOEAs to satisfy the above real-world constraints and consistently outperform typical performance benchmarks P 500 over the past 30 years and generate a set of monthly portfolios that outperform the Russell 1000 Growth index over the last 15 years.