Constructing investment strategy portfolios by combination genetic algorithms

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題名:	Constructing investment strategy portfolios by combination genetic algorithms
作者:	Chen,JS;Hou,JL;Wu,SM;Chang-Chien,YW
貢獻者:	資訊管理研究所
關鍵詞:	OPTIMIZATION;MANAGEMENT
日期:	2009
上傳時間:	2010-06-29 20:37:24 (UTC+8)
出版者:	中央大學
摘要:	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. (C) 2008 Elsevier Ltd All rights reserved.
關聯:	EXPERT SYSTEMS WITH APPLICATIONS
顯示於類別:	[資訊管理研究所] 期刊論文

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