RETURN PERFORMANCE VOLATILITY AND ADAPTATION IN AN AUTOMATED TECHNICAL ANALYSIS APPROACH TO PORTFOLIO MANAGEMENT

被引：1

作者：

Ghandar, Adam ^{[1
]}

Michalewicz, Zbigniew ^{[1
,2
,3
]}

Zurbruegg, Ralf ^{[4
]}

机构：

[1] Univ Adelaide, Sch Comp Sci, Adelaide, SA 5005, Australia

[2] Polish Acad Sci, Inst Comp Sci, PL-01237 Warsaw, Poland

[3] Polish Japanese Inst Informat Technol, PL-02008 Warsaw, Poland

[4] Univ Adelaide, Sch Commerce, Adelaide, SA 5005, Australia

来源：

INTELLIGENT SYSTEMS IN ACCOUNTING FINANCE & MANAGEMENT | 2009年 / 16卷 / 1-2期

关键词：

D O I：

10.1002/isaf.297

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper discusses the design of a quantitative computational intelligence portfolio management system and evaluates the advantages of some adaptive mechanisms to enable the system to adjust its management approach as market conditions change. A detailed analysis of the performance of the system outside is also provided. It is found that an adaptive methodology where trading rules are able to adjust to market conditions performs better, having greater excess returns and lower volatility than a fixed rule approach. We consider several performance metrics, including portfolio alpha and information content. Copyright (C) 2009 John Wiley & Sons, Ltd.

引用

页码：127 / 146

页数：20

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