scholarly journals Public Portfolio Selection Combining Genetic Algorithms and Mathematical Decision Analysis

10.5772/38121 ◽  
2012 ◽  
Author(s):  
Eduardo Fernndez-Gonzlez ◽  
Ins Vega-Lpez ◽  
Jorge Navarro-Castillo
Keyword(s):  
Genetic Algorithms ◽  
Decision Analysis ◽  
Portfolio Selection ◽  
Selection Combining

scholarly journals Socially Responsible Investment: A multicriteria approach to portfolio selection combining ethical and financial objectives

2012 ◽  
Vol 216 (2) ◽  
pp. 487-494 ◽  
Author(s):  
Enrique Ballestero ◽  
Mila Bravo ◽  
Blanca Pérez-Gladish ◽  
Mar Arenas-Parra ◽  
David Plà-Santamaria
Keyword(s):  
Portfolio Selection ◽  
Socially Responsible Investment ◽  
Selection Combining ◽  
Socially Responsible ◽  
Responsible Investment

scholarly journals PORTFOLIO SELECTION AND MANAGEMENT USING A HYBRID INTELLIGENT AND STATISTICAL SYSTEM

2019 ◽  
pp. 31-35
Keyword(s):  
Genetic Algorithm ◽  
Neural Networks ◽  
Genetic Algorithms ◽  
Portfolio Selection ◽  
Hybrid System ◽  
Portfolio Management ◽  
Garch Model ◽  
Statistical System ◽  
Asset Portfolio ◽  
The Garch Model

PORTFOLIO SELECTION AND MANAGEMENT USING A HYBRID INTELLIGENT AND STATISTICAL SYSTEM Juan G. Lazo Lazo, Marco Aurélio C. Pacheco, Marley Maria R. Vellasco DOI: https://doi.org/10.33017/RevECIPeru2004.0010/ ABSTRACT This paper presents the development of a hybrid system based on Genetic Algorithms, Neural Networks and the GARCH model for the selection of stocks and the management of investment portfolios. The hybrid system comprises four modules: a genetic algorithm for selecting the assets that will form the investment portfolio, the GARCH model for forecasting stock volatility, a neural network for predicting asset returns for the portfolio, and another genetic algorithm for determining the optimal weights for each asset. Portfolio management has consisted of weekly updates over a period of 49 weeks. Keywords: Genetic Algorithms, Neural Networks, GARCH, VaR, Volatility.

Sign in / Sign up

Export Citation Format

Share Document