| A Portfolio Selection Strategy Using Genetic Relation Algorithm | |
| Chen, Yan1,2; Mabu, Shingo2; Hirasawa, Kotaro2 | |
| 2010 | |
| 英文摘要 | This paper proposes a new strategy beta-GRA for portfolio selection in which the return and risk are considered as measures of strength in Genetic Relation Algorithm (GRA). Since the portfolio beta beta efficiently measures the volatility relative to the benchmark index or the capital market, beta is usually employed for portfolio evaluation or prediction, but scarcely for portfolio construction process. The main objective of this paper is to propose an integrated portfolio selection strategy, which selects stocks based on beta using GRA. GRA is a new evolutionary algorithm designed to solve the optimization problem due to its special structure. We illustrate the proposed strategy by experiments and compare the results with those derived from the traditional models. |
| 会议录出版者 | IEEE |
| 会议录出版地 | 345 E 47TH ST, NEW YORK, NY 10017 USA |
| 语种 | 英语 |
| WOS研究方向 | Engineering ; Mathematical & Computational Biology |
| WOS记录号 | WOS:000287375804001 |
| 内容类型 | 会议论文 |
| 源URL | [http://10.2.47.112/handle/2XS4QKH4/3123]  |
| 专题 | 上海财经大学 |
| 作者单位 | 1.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China; 2.Waseda Univ, Grad Sch Informat Product & Syst, Kitakyushu, Fukuoka 8080135, Japan |
| 推荐引用方式 GB/T 7714 | Chen, Yan,Mabu, Shingo,Hirasawa, Kotaro. A Portfolio Selection Strategy Using Genetic Relation Algorithm[C]. 见:. |
| 个性服务 |
| 查看访问统计 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
修改评论