A model of portfolio optimization using time adapting genetic network programming

DOI10.1016/J.COR.2009.12.003zbMATH Open1188.90277OpenAlexW2091534623MaRDI QIDQ976029FDOQ976029

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

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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)

Cites Work

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• Application of neural networks to an emerging financial market: Forecasting and trading the Taiwan Stock index.
• Neural network-based mean-variance-skewness model for portfolio selection
• Generating trading rules on the stock markets with genetic programming.
• Efficient implementation of an active set algorithm for large-scale portfolio selection
• The predictive power of price patterns

Cited In (8)

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

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