Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA

Antonio Daniel Silva, Rui Ferreira Neves, Nuno Horta (Autoren)

Buch | Softcover

XVII, 95 Seiten

2016 | 1st ed. 2016
Springer International Publishing (Verlag)
978-3-319-29390-5 (ISBN)

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This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different investment models with real constraints equivalents to the ones faced by managers of mutual funds, hedge funds, and pension funds. To validate the present solution two case studies are presented for the SP&500 for the period June 2010 until end of 2012. The simulations demonstrates that stock selection based on financial ratios is a combination that can be used to choose the best companies in operational terms, obtaining returns above the market average with low variances in their returns. In this case the optimizer found stocks with high return on investment in a conjunction with high rate of growth of the net income and a high profit margin. To obtain stocks with high valuation potential it is necessary to choose companies with a lower or average market capitalization, low PER, high rates of revenue growth and high operating leverage

Introduction.- Literature Review.- System Architecture.- Multi-Objective optimization.- Simulations in single and multi-objective optimization.- Outlook.

Erscheinungsdatum	08.10.2016
Reihe/Serie	SpringerBriefs in Applied Sciences and Technology
Reihe/Serie	SpringerBriefs in Computational Intelligence
Zusatzinfo	XVII, 95 p. 46 illus., 18 illus. in color.
Verlagsort	Cham
Sprache	englisch
Maße	155 x 235 mm
Themenwelt	Informatik ► Theorie / Studium ► Algorithmen
	Informatik ► Theorie / Studium ► Künstliche Intelligenz / Robotik
	Technik
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
Schlagworte	Algorithm analysis and problem complexity • Computational Finance • Computational Intelligence • Engineering • Finance, general • Financial Statements • Fundamental Analysis • Multi-objective evolutionary Algorithm • Portfolio Composition • Quantitative Finance
ISBN-10	3-319-29390-7 / 3319293907
ISBN-13	978-3-319-29390-5 / 9783319293905
Zustand	Neuware