Evolution strategy in portfolio optimization

被引：0
|
作者：
Korczak, JJ
Lipinski, P
Roger, P
机构：
[1] Univ Strasbourg, CNRS, LSIIT, Strasbourg, France
[2] Univ Wroclaw, Inst Comp Sci, PL-51151 Wroclaw, Poland
[3] Univ Strasbourg, LARGE, Strasbourg, France
来源：
ARTFICIAL EVOLUTION | 2002年 / 2310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 paper an evolutionary, algorithm to optimize a stock portfolio is presented. The method, based on Evolution Strategies, uses artificial trading experts discovered by a genetic algorithm. This approach is tested on a sample of stocks taken from the French market. Results obtained are compared with the Buy-and-Hold strategy and a stock index. Presented research extends evolutionary methods on financial economics worked out earlier for stock trading.
引用
收藏
页码：156 / 167
页数：12
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