An Evolutionary-based Algorithm for Multi-Period Grouping Stock Portfolio Optimization

被引：0

作者：

Chen, Chun-Hao ^{[1
]}

Cheng, Chia-Yuan ^{[1
]}

Hong, Tzung-Pei ^{[2
,3
]}

Wu, Mu-En ^{[4
]}

Lin, Kawuu W. ^{[5
]}

Lin, Jerry Chun-Wei ^{[6
]}

机构：

[1] Tamkang Univ, Dept Comp Sci & Informat Engn, Taipei, Taiwan

[2] Natl Univ Kaohsiung, Dept Comp Sci & Informat Engn, Kaohsiung, Taiwan

[3] Natl Sun Yat Sen Univ, Dept Comp Sci & Engn, Kaohsiung, Taiwan

[4] Natl Taipei Univ Technol, Dept Informat & Finance Management, Taipei, Taiwan

[5] Natl Kaohsiung Univ Sci & Technol, Dept Comp Sci & Informat Engn, Kaohsiung, Taiwan

[6] Western Norway Univ Appl Sci HVL, Dept Comp Math & Phys, Bergen, Norway

来源：

2019 IEEE INTERNATIONAL CONFERENCE ON SYSTEMS, MAN AND CYBERNETICS (SMC) | 2019年

关键词：

Genetic algorithm; grouping problem; group stock portoflio; multi-period portfolio optimization; multi-period group stock portfolio; MODEL;

D O I：

暂无

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper, we propose an algorithm for obtaining a multi-period group stock portfolio based on the grouping genetic algorithm. It encodes a multi-period group stock portfolio into a chromosome by the belonging, grouping, group availability and weight parts. Every chromosome is then evaluated by three factors: the accumulated return, the accumulated safety, and the investment style factors. A front pool which is a set of non-dominated solutions is also maintained to enhance the diversity of the proposed approach. Experiments were conducted on the financial dataset to show the merits of the proposed approach.

引用

页码：2530 / 2534

页数：5

共 13 条

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