Evolutionary Approach to Portfolio Optimization
نویسندگان
چکیده
In this paper a portfolio optimization algorithm based on Evolution Strategies is presented. This method makes use of artificial trading experts discovered earlier by a genetic algorithm. These experts, consisting of technical analysis rules, are trained to process financial time series and to generate trading advice. Evolution Strategies lead to the optimization of portfolio structures where individual trading experts advice is integrated. This approach is tested on a sample financial time series taken from the Paris Stock Exchange. The resulting investment strategy has been compared with the Buy-and-Hold strategy and the market index. The research presented extends our previous research into stock trading.
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