Building Investment Strategy Portfolios by Combination Genetic Algorithms

The classical portfolio problem is a problem of distributing capital to a set of securities. By generalizing the set of securities to a set of investment strategies (or security-rule pairs), this study proposes an investment strategy portfolio problem, which becomes a problem of distributing capital...

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Bibliographic Details
Main Authors: Jiah-Shing Chen, Jia-Li Hou, Shih-Min Wu
Format: Conference Proceeding
Language:English
Subjects:
Biological cells
Cities and towns
Decoding
Genetic algorithms
Instruments
Investments
Lagrangian functions
National security
Portfolios
Testing
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Summary:The classical portfolio problem is a problem of distributing capital to a set of securities. By generalizing the set of securities to a set of investment strategies (or security-rule pairs), this study proposes an investment strategy portfolio problem, which becomes a problem of distributing capital to a set of investment strategies. Since the investment strategy portfolio problem can be formulated as a combination optimization problem, a new combination genetic algorithm is proposed for solving the new investment strategy portfolio problem. Experimental results show that the idea of investment strategy portfolios is feasible and the combination genetic algorithm is effective on the investment strategy portfolio problem.
ISSN:2157-9555
DOI:10.1109/ICNC.2007.290