A model of portfolio optimization using time adapting genetic network programming

DOI10.1016/J.COR.2009.12.003MaRDI QIDQ976029zbMATH OpenOpenAlexFDO

Authors Yan Chen, Shingo Mabu, Kotaro Hirasawa

Publication date 11 June 2010

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cor.2009.12.003

zbMATH Keywords

portfolio optimizationreinforcement learningcandlestick chartgenetic network programmingtechnical indices

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
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• A model for portfolio selection with order of expected returns.
• Application of neural networks to an emerging financial market: Forecasting and trading the Taiwan Stock index.
• Efficient implementation of an active set algorithm for large-scale portfolio selection
• Generating trading rules on the stock markets with genetic programming.
• Genetic algorithms for portfolio selection problems with minimum transaction lots
• Neural network-based mean-variance-skewness model for portfolio selection
• Portfolio selection using neural networks
• The predictive power of price patterns

Cited in

(11)

• Credit portfolio management using two-level particle swarm optimization
• Constructing a dynamic stock portfolio decision-making assistance model: using the Taiwan 50 index constituents as an example
• Dynamic multi-criteria evaluation of co-evolution strategies for solving stock trading problems
• Development and evaluation of decision-making model for stock markets
• ChatGPT-based investment portfolio selection
• Improving portfolio efficiency: a genetic algorithm approach
• DECISION-MAKING MODEL FOR STOCK MARKETS BASED ON PARTICLE SWARM OPTIMIZATION ALGORITHM
• A hybrid intelligent system of ANFIS and CAPM for stock portfolio optimization
• A trend based investment decision approach using clustering and heuristic algorithm
• Asset portfolio optimization using support vector machines and real-coded genetic algorithm
• A hybrid stock trading system using genetic network programming and mean conditional value-at-risk

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