Loading…

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...

Full description

Saved in:
Bibliographic Details
Main Authors: Chen, Chun-Hao, Cheng, Chia-Yuan, Hong, Tzung-Pei, Wu, Mu-En, Lin, Kawuu W., Lin, Jerry Chun-Wei
Format: Conference Proceeding
Language:English
Subjects:
Online Access:Request full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
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.
ISSN:2577-1655
DOI:10.1109/SMC.2019.8914400