Constructing 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
Published in:Expert systems with applications 2009-03, Vol.36 (2), p.3824-3828
Main Authors: Chen, Jiah-Shing, Hou, Jia-Li, Wu, Shih-Min, Chang-Chien, Ya-Wen
Format: Article
Language:English
Subjects:
Capital allocation
Combination genetic algorithm
Genetic algorithms (GA)
Investment strategy portfolio
Portfolio
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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:0957-4174
1873-6793
DOI:10.1016/j.eswa.2008.02.019