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Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA
Silva, Antonio; Neves, Rui F. M. F.; Horta, Nuno
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Description for Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA
Paperback. Series: SpringerBriefs in Applied Sciences and Technology. Num Pages: 112 pages, 28 black & white illustrations, 18 colour illustrations, biography. BIC Classification: KFFM2; UMB. Category: (G) General (US: Trade). Dimension: 235 x 155 x 6. Weight in Grams: 191.
This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different investment models with real constraints equivalents to the ones faced by managers of mutual funds, hedge funds, and pension funds. To validate the present solution two case studies are presented for the SP&500 for the period June 2010 until end of 2012. The simulations demonstrates that stock selection based on ... Read more
This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different investment models with real constraints equivalents to the ones faced by managers of mutual funds, hedge funds, and pension funds. To validate the present solution two case studies are presented for the SP&500 for the period June 2010 until end of 2012. The simulations demonstrates that stock selection based on ... Read more
Product Details
Format
Paperback
Publication date
2016
Publisher
Springer International Publishing AG Switzerland
Number of pages
112
Condition
New
Series
SpringerBriefs in Applied Sciences and Technology
Number of Pages
95
Place of Publication
Cham, Switzerland
ISBN
9783319293905
SKU
V9783319293905
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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