Constructing investment strategy portfolios by combination genetic algorithms

Authors:
Jiah-Shing Chen;Jia-Li Hou;Shih-Min Wu;Ya-Wen Chang-Chien
Affiliations:
Department of Information Management, National Central University, No. 300, Jhongda Road, Jhongli City, Taoyuan County 32001, Taiwan, ROC;Department of Information Management, National Dong Hwa University, No. 1, Section 2, Da Hseuh Road, Shoufeng, Hualien, Taiwan, ROC;Department of Information Management, National Central University, No. 300, Jhongda Road, Jhongli City, Taoyuan County 32001, Taiwan, ROC;Department of Information Management, National Central University, No. 300, Jhongda Road, Jhongli City, Taoyuan County 32001, Taiwan, ROC
Venue:
Expert Systems with Applications: An International Journal
Year:
2009

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Abstract

The classical portfolio problem is a problem of distributing capital to a set of securities. By generalizing the set of securities to a set of investment strategies (or security-rule pairs), this study proposes an investment strategy portfolio problem, which becomes a problem of distributing capital to a set of investment strategies. Since the investment strategy portfolio problem can be formulated as a combination optimization problem, a new combination genetic algorithm is proposed for solving the new investment strategy portfolio problem. Experimental results show that the idea of investment strategy portfolios is feasible and the combination genetic algorithm is effective on the investment strategy portfolio problem.