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Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA

E-BookPDF1 - PDF WatermarkE-Book
95 Seiten
Englisch
Springer International Publishingerschienen am11.02.20161st ed. 2016
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 leveragemehr
Verfügbare Formate
BuchKartoniert, Paperback
EUR53,49
E-BookPDF1 - PDF WatermarkE-Book
EUR53,49

Produkt

KlappentextThis 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
Details
Weitere ISBN/GTIN9783319293929
ProduktartE-Book
EinbandartE-Book
FormatPDF
Format Hinweis1 - PDF Watermark
FormatE107
Erscheinungsjahr2016
Erscheinungsdatum11.02.2016
Auflage1st ed. 2016
ReiheSpringerBriefs in Computational Intelligence
Seiten95 Seiten
SpracheEnglisch
IllustrationenXVII, 95 p. 46 illus., 18 illus. in color.
Artikel-Nr.1899322
Rubriken
Genre9200

Inhalt/Kritik

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

Autor