A double-stage genetic optimization algorithm for portfolio selection

被引：0
|
作者：
Lai, Kin Keung [1 ]
Yu, Lean
Wang, Shouyang
Zhou, Chengxiong
机构：
[1] Hunan Univ, Coll Business Adm, Changsha 410082, Peoples R China
[2] City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
[3] Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
来源：
NEURAL INFORMATION PROCESSING, PT 3, PROCEEDINGS | 2006年 / 4234卷
关键词：
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
In this study, a double-stage genetic optimization algorithm is proposed for portfolio selection. In the first stage, a genetic algorithm is used to identify good quality assets in terms of asset ranking. In the second stage, investment allocation in the selected good quality assets is optimized using a genetic algorithm based on Markowitz's theory. Through the two-stage genetic optimization process, an optimal portfolio can be determined. Experimental results reveal that the proposed double-stage genetic optimization algorithm for portfolio selection provides a very feasible and useful tool to assist the investors in planning their investment strategy and constructing their portfolio.
引用
收藏
页码：928 / 937
页数：10
相关论文
共 50 条
  • [1] DOUBLE-STAGE PORTFOLIO SELECTION USING K-MEANS CLUSTERING AND GENETIC ALGORITHMS
    Jazi, Ali Yousefian
    Gharipour, Amin
    Naderi, Amer Mohammad
    [J]. 2011 INTERNATIONAL CONFERENCE ON COMPUTER AND COMPUTATIONAL INTELLIGENCE (ICCCI 2011), 2012, : 391 - 398
  • [2] Double-stage genetic algorithm for wind farm layout optimization on complex terrains
    Dobric, Goran
    Durisic, Zeljko
    [J]. JOURNAL OF RENEWABLE AND SUSTAINABLE ENERGY, 2014, 6 (03)
  • [3] A hybrid genetic quantitative algorithm for portfolio selection optimization
    Liu, ZD
    [J]. Proceedings of the 2005 International Conference on Management Science & Engineering (12th), Vols 1- 3, 2005, : 1834 - 1838
  • [4] OPTIMIZATION OF A DOUBLE-STAGE FLASH SYSTEM
    ALICILAR, A
    DOGAN, M
    GURU, M
    [J]. INTERNATIONAL JOURNAL OF ENERGY RESEARCH, 1995, 19 (02) : 169 - 179
  • [5] Design Optimization of a Double-Stage Resolver
    Alemi-Rostami, M.
    Alipour-Sarabi, R.
    Rezazadeh, G.
    Nasiri-Gheidari, Z.
    Oraee, H.
    [J]. IEEE TRANSACTIONS ON VEHICULAR TECHNOLOGY, 2019, 68 (06) : 5407 - 5415
  • [6] Investment stock portfolio with multi-stage genetic algorithm optimization
    Chan, MC
    Wong, CC
    Luo, WD
    Cheung, BKS
    [J]. Soft Computing as Transdisciplinary Science and Technology, 2005, : 1141 - 1150
  • [7] A genetic relation algorithm for portfolio selection
    Chen, Yan
    Hirasawa, Kotaro
    [J]. PROCEEDINGS OF THE THIRD INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING MANAGEMENT, 2009, : 335 - 340
  • [8] Double-stage Metamodel and Its Application in Aerodynamic Design Optimization
    Zhang Dehu
    Gao Zhenghong
    Huang Likeng
    Wang Mingliang
    [J]. CHINESE JOURNAL OF AERONAUTICS, 2011, 24 (05) : 568 - 576
  • [9] Double-stage Metamodel and Its Application in Aerodynamic Design Optimization
    ZHANG Dehu a GAO Zhenghong a HUANG Likeng a WANG Mingliang b a National Key Laboratory of Science and Technology on Aerodynamic Design and Research Northwestern Polytechnical University Xian China b National Key Laboratory of Science and Technology on Test Physics Numerical Mathematical Beijing China
    [J]. Chinese Journal of Aeronautics., 2011, 24 (05) - 576
  • [10] Double-stage Metamodel and Its Application in Aerodynamic Design Optimization
    ZHANG Dehu a
    [J]. Chinese Journal of Aeronautics, 2011, (05) : 568 - 576
12345