کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
474746 | 699131 | 2010 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A model of portfolio optimization using time adapting genetic network programming
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
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چکیده انگلیسی
This paper describes a decision-making model of dynamic portfolio optimization for adapting to the change of stock prices based on an evolutionary computation method named genetic network programming (GNP). The proposed model, making use of the information from technical indices and candlestick chart, is trained to generate portfolio investment advice. Experimental results on the Japanese stock market show that the decision-making model using time adapting genetic network programming (TA-GNP) method outperforms other traditional models in terms of both accuracy and efficiency. A comprehensive analysis of the results is provided, and it is clarified that the TA-GNP method is effective on the portfolio optimization problem.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computers & Operations Research - Volume 37, Issue 10, October 2010, Pages 1697–1707
Journal: Computers & Operations Research - Volume 37, Issue 10, October 2010, Pages 1697–1707
نویسندگان
Yan Chen, Shingo Mabu, Kotaro Hirasawa,