Publication detail

Investment portfolio optimization based on genetic algorithm

BUDÍK, J. DOSKOČIL, R.

Original Title

Investment portfolio optimization based on genetic algorithm

Type

journal article - other

Language

English

Original Abstract

The paper describes creation and application of an investment portfolio. For the creating an investment portfolio is used technical approach supported by statistical analysis. Main aim of the paper is to perform statistical analysis of selected financial instruments and to find connections between the input data using application Adaptrade from Adaptrade Software Company. This application is based on genetic algorithms basis and is able to process this difficult task in real time. Application of genetic algorithms in developing a model of investment portfolio allows sophisticated analysis and searching of relevant information in the input data than standard algorithmic methods. Genetic algorithms find a more sensitive set of rules for entry, exit and management of speculative positions. The added value of the application of genetic algorithms is sensible setting of the investment portfolio parameters. The case analysis is performed for three world currencies (U.S. dollar, Euro and British pound). The connections between the input data found by sophisticated statistical analysis are suitable for decision making in the financial markets for investment and speculations.

Keywords

optimization, artificial intelligence, genetic algorithms, evolution, foreign exchange, datamining

Authors

BUDÍK, J.; DOSKOČIL, R.

RIV year

2011

Released

5. 5. 2011

Publisher

Mykolas Romerias University

Location

Vilnius, Litva

ISBN

2029-7378

Periodical

1st international scientific concerence "Practice and research in private public sector-11"

Year of study

1

Number

1

State

Republic of Lithuania

Pages from

134

Pages to

141

Pages count

360

BibTex

@article{BUT36408,
  author="Jan {Budík} and Radek {Doskočil}",
  title="Investment portfolio optimization based on genetic algorithm",
  journal="1st international scientific concerence {"}Practice and research in private public sector-11{"}",
  year="2011",
  volume="1",
  number="1",
  pages="134--141",
  issn="2029-7378"
}