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Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA

Af: Nuno Horta, Antonio Daniel Silva, Rui Ferreira Neves Engelsk Paperback

Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA

Af: Nuno Horta, Antonio Daniel Silva, Rui Ferreira Neves Engelsk Paperback
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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
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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
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Se mere i:
Produktdetaljer
Sprog: Engelsk
Sider: 95
ISBN-13: 9783319293905
Indbinding: Paperback
Udgave:
ISBN-10: 3319293907
Kategori: Algoritmer og datastrukturer
Udg. Dato: 19 feb 2016
Længde: 0mm
Bredde: 155mm
Højde: 235mm
Forlag: Springer International Publishing AG
Oplagsdato: 19 feb 2016
Forfatter(e): Nuno Horta, Antonio Daniel Silva, Rui Ferreira Neves
Forfatter(e) Nuno Horta, Antonio Daniel Silva, Rui Ferreira Neves

Kategori Algoritmer og datastrukturer

ISBN-13 9783319293905

Sprog Engelsk

Indbinding Paperback

Sider 95

Udgave

Længde 0mm

Bredde 155mm

Højde 235mm

Udg. Dato 19 feb 2016

Oplagsdato 19 feb 2016

Forlag Springer International Publishing AG

Kategori sammenhænge