Constructing investment strategy portfolios by combination genetic algorithms

NCUIR > School of Management at National Central University > Graduate Institute of Information Management > journal & Dissertation > Item 987654321/29652

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/29652

Title:	Constructing investment strategy portfolios by combination genetic algorithms
Authors:	Chen,JS;Hou,JL;Wu,SM;Chang-Chien,YW
Contributors:	資訊管理研究所
Keywords:	OPTIMIZATION;MANAGEMENT
Date:	2009
Issue Date:	2010-06-29 20:37:24 (UTC+8)
Publisher:	中央大學
Abstract:	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.
Relation:	EXPERT SYSTEMS WITH APPLICATIONS
Appears in Collections:	[Graduate Institute of Information Management] journal & Dissertation

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