The Portfolio Heuristic Optimisation System (PHOS)

被引:0
|
作者
N. Loukeris
I. Eleftheriadis
E. Livanis
机构
[1] University of Macedonia,Department of Business Administration
[2] University of Macedonia,Department of Accounting and Finance
来源
Computational Economics | 2016年 / 48卷
关键词
Support vector machines; Genetic algorithms; Portfolio selection; Bankruptcy;
D O I
暂无
中图分类号
学科分类号
摘要
The efficient representation of the accurate corporate value on the stock price is vital to investors and fund managers that desire to optimise the net worth of the overall stock portfolio. Although the efficient market hypothesis sets limits, the practice of markets is an ideal place of manipulation, and corruption on prices. The accounting statements, evaluated by support vector machines and the SVM hybrids under genetic algorithms provide superiority in portfolio selection, on condition. A specific genetic hybrid SVM outperformed all examined SVM models being a powerful tool in financial analysis. We also offer the integrated model of portfolio selection, PHOS.
引用
收藏
页码:627 / 648
页数:21
相关论文
共 50 条
  • [1] The Portfolio Heuristic Optimisation System (PHOS)
    Loukeris, N.
    Eleftheriadis, I.
    Livanis, E.
    [J]. COMPUTATIONAL ECONOMICS, 2016, 48 (04) : 627 - 648
  • [2] An advanced system for portfolio optimisation
    Beraldi, Patrizia
    Grandinetti, Lucio
    Epicoco, Italo
    Violi, Antonio
    Bruni, Maria Elena
    [J]. INTERNATIONAL JOURNAL OF GRID AND UTILITY COMPUTING, 2014, 5 (01) : 21 - 32
  • [3] A numerical evaluation of meta-heuristic techniques in portfolio optimisation
    N. Loukeris
    D. Donelly
    A. Khuman
    Y. Peng
    [J]. Operational Research, 2009, 9 (1) : 81 - 103
  • [4] System dynamics and heuristic optimisation in defence analysis
    Wolstenholme, E. F.
    Al-Alusi, Abdul-Sattar
    [J]. SYSTEM DYNAMICS REVIEW, 1987, 3 (02) : 102 - 115
  • [5] Heuristic optimisation
    Aickelin, Uwe
    Clark, Alistair
    [J]. JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2011, 62 (02) : 251 - 252
  • [6] Portfolio optimisation and diversification
    King, David
    [J]. JOURNAL OF ASSET MANAGEMENT, 2007, 8 (05) : 296 - 307
  • [7] Portfolio optimisation and diversification
    David King
    [J]. Journal of Asset Management, 2007, 8 (5) : 296 - 307
  • [8] Portfolio optimisation and bootstrapping
    Srivatsa, Rahul
    Smith, Andrew
    Lekander, Jon
    [J]. JOURNAL OF PROPERTY INVESTMENT & FINANCE, 2010, 28 (01) : 24 - +
  • [9] Financial portfolio optimisation
    Flener, P
    Pearson, J
    Reyna, LG
    [J]. PRINCIPLES AND PRACTICE OF CONSTRAINT PROGRAMMING - CP 2004, PROCEEDINGS, 2004, 3258 : 227 - 241
  • [10] A taboo search heuristic for the optimisation of a multistage component placement system
    Bruno, Giuseppe
    Ghiani, Gianpaolo
    Improta, Gennaro
    Manni, Emanuele
    [J]. JOURNAL OF DISCRETE MATHEMATICAL SCIENCES & CRYPTOGRAPHY, 2005, 8 (02): : 271 - 285