Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA

Language: English

Published by Palgrave Macmillan, Springer Feb 2016, 2016

3319293907 / 9783319293905

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This item is printed on demand - Print on Demand Titel. Neuware -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 leverageSpringer-Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 116 pp. Englisch.…

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Title
Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA
Author
Antonio Daniel Silva
Publisher
Palgrave Macmillan, Springer Feb 2016
Publication year
2016
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3319293907
ISBN 13
9783319293905
Item weight
189 grams
Dimensions
235x155x7 mm

buchversandmimpf2000

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Impressum Thorsten Retsch Buchversand Mimpf2000 Oberölschnitz 16 95517 Emtmannsberg Deutschland Telefon: 09209-2023188 Email: mimpf2000@online.de USt-ID-Nr.: DE 235096871 Wir führen gebrauchte Bücher aus allen Sparten der Literatur

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