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An Evolutionary-based Algorithm for Multi-Period Grouping Stock Portfolio Optimization
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...
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Main Authors: | , , , , , |
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Format: | Conference Proceeding |
Language: | English |
Subjects: | |
Online Access: | Request full text |
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Summary: | 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. |
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ISSN: | 2577-1655 |
DOI: | 10.1109/SMC.2019.8914400 |