Portfolio optimization using fundamental indicators based on multi-objective EA [electronic resource] / António Daniel Silva, Rui Ferreira Neves, Nuno Horta.
Silva, António Daniel, author.; Neves, Rui Ferreira, author.; Horta, Nuno, author.
2016
HG4529.5
Available Online

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Title Portfolio optimization using fundamental indicators based on multi-objective EA [electronic resource] / António Daniel Silva, Rui Ferreira Neves, Nuno Horta.
Author Silva, António Daniel, author.
ISBN 9783319293929 (electronic book)
3319293923 (electronic book)
9783319293905
DOI https://doi.org/10.1007/978-3-319-29392-9
Published [Switzerland] : Springer, [2016]
Copyright ©2016
Language English
Description 1 online resource : color illustrations.
Item Number 10.1007/978-3-319-29392-9 doi
Call Number HG4529.5
Dewey Decimal Classification 332.6
Summary 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.
Bibliography, etc. Note Includes bibliographical references.
Access Note Access limited to authorized users.
Source of Description Online resource; title from PDF title page (viewed February 16, 2016).
Added Author Neves, Rui Ferreira, author.
Horta, Nuno, author.
Series SpringerBriefs in applied sciences and technology. Computational intelligence.
Available in Other Form Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA
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Record Appears in Online Resources > Ebooks
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Introduction
Literature Review
System Architecture
Multi-Objective optimization
Simulations in single and multi-objective optimization
Outlook.

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