Another Approach for Portfolio Selection using Evolutionary Programming for the Mexican Stock Exchange
نویسنده
چکیده
This paper presents an approach for portfolio selection using evolutionary programming as a tool for optimization. The goal is to find the mix of stocks that minimize risk expressed as standard deviation for a certain expected return. Two alternatives approaches are developed (Hillclimbing and Random) to measure the performance of the modified genetic algorithm. Key-Words: Evolutionary Computing, Finance, Genetic Algorithms, Optimization, Portfolio Selection, Investment Analysis.
منابع مشابه
Extension of Portfolio Selection Problem with Fuzzy Goal Programming: A Fuzzy Allocated Portfolio Approach
Recently, the economic crisis has resulted in instability in stock exchange market and this has caused high volatilities in stock value of exchanged firms. Under these conditions, considering uncertainty for a favorite investment is more serious than before. Multi-objective Portfolio selection (Return, Liquidity, Risk and Initial cost of Investment objectives) using MINMAX fuzzy goal programmin...
متن کاملUsing Genetic Algorithm in Solving Stochastic Programming for Multi-Objective Portfolio Selection in Tehran Stock Exchange
Investor decision making has always been affected by two factors: risk and returns. Considering risk, the investor expects an acceptable return on the investment decision horizon. Accordingly, defining goals and constraints for each investor can have unique prioritization. This paper develops several approaches to multi criteria portfolio optimization. The maximization of stock returns, the pow...
متن کاملDeveloping a multi objective possibilistic programming model for portfolio selection problem
Portfolio selection problem is one of the most important issues in the area of financial management in which is attempted to allocate wealth to different assets with controlling the return and risk. The aim of this paper is to obtain the optimum portfolio with regard to the cardinality and threshold constraints. In the paper, a novel multi-objective possibilistic programming model is developed ...
متن کاملStock Portfolio Optimization Using Water Cycle Algorithm (Comparative Approach)
Portfolio selection process is a subject focused by many researchers. Various criteria involved in this process have undergone alterations over time, necessitating the use of appropriate investment decision support tools. An optimization approach used in different sciences is using meta-heuristic algorithms. In the present study, using Water Cycle Algorithm (WCA), a model was introduced for sel...
متن کاملOptimal Portfolio Selection for Tehran Stock Exchange Using Conditional, Partitioned and Worst-case Value at Risk Measures
This paper presents an optimal portfolio selection approach based on value at risk (VaR), conditional value at risk (CVaR), worst-case value at risk (WVaR) and partitioned value at risk (PVaR) measures as well as calculating these risk measures. Mathematical solution methods for solving these optimization problems are inadequate and very complex for a portfolio with high number of assets. For t...
متن کامل