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Cookie akzeptierenAntonio Daniel Silva / Nuno Horta / Rui Ferreira Neves
Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA
- Springer International Publishing
- 2016
- Taschenbuch
- 116 Seiten
- ISBN 9783319293905
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
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