Money in trees: How memes, trees, and isolation can optimize financial portfolios

Authors:
Claus Aranha;Carlos R. B. Azevedo;Hitoshi Iba
Affiliations:
Tokyo University, 7-3-1 Hongo, Bunkyo-ku, Tokyo 113-8656, Japan;State University of Campinas, Laboratory of Bioinformatics and Bio-inspired Computing, 6101 Cidade Universitária Zeferino Vaz, Campinas, São Paulo, Brazil;Tokyo University, 7-3-1 Hongo, Bunkyo-ku, Tokyo 113-8656, Japan
Venue:
Information Sciences: an International Journal
Year:
2012

Citing 17
Cited 2

Adaptive global optimization with local search

Adaptive global optimization with local search
Heterogeneous computing and parallel genetic algorithms

Journal of Parallel and Distributed Computing - Problems in parallel and distributed computing: Solutions based on evolutionary paradigms
Cellular Genetic Algorithms

Proceedings of the 5th International Conference on Genetic Algorithms
Serial and Parallel Genetic Algorithms as Function Optimizers

Proceedings of the 5th International Conference on Genetic Algorithms
A neural evolutionary approach to financial modeling

Proceedings of the 8th annual conference on Genetic and evolutionary computation
Multiobjective robustness for portfolio optimization in volatile environments

Proceedings of the 10th annual conference on Genetic and evolutionary computation
Learning to optimize profits beats predicting returns -: comparing techniques for financial portfolio optimisation

Proceedings of the 10th annual conference on Genetic and evolutionary computation
Adaptive terrain-based memetic algorithms

Proceedings of the 11th Annual conference on Genetic and evolutionary computation
An Evolutionary Computation Approach to Scenario-Based Risk-Return Portfolio Optimization for General Risk Measures

Proceedings of the 2007 EvoWorkshops 2007 on EvoCoMnet, EvoFIN, EvoIASP,EvoINTERACTION, EvoMUSART, EvoSTOC and EvoTransLog: Applications of Evolutionary Computing
Building Risk-Optimal Portfolio Using Evolutionary Strategies

Proceedings of the 2007 EvoWorkshops 2007 on EvoCoMnet, EvoFIN, EvoIASP,EvoINTERACTION, EvoMUSART, EvoSTOC and EvoTransLog: Applications of Evolutionary Computing
Tree pattern mining with tree automata constraints

Information Systems
Symbiotic multi-swarm PSO for portfolio optimization

ICIC'09 Proceedings of the Intelligent computing 5th international conference on Emerging intelligent computing technology and applications
Ensemble of niching algorithms

Information Sciences: an International Journal
Using investment satisfaction capability index based particle swarm optimization to construct a stock portfolio

Information Sciences: an International Journal
Cellular particle swarm optimization

Information Sciences: an International Journal
Accelerating Differential Evolution Using an Adaptive Local Search

IEEE Transactions on Evolutionary Computation
Classification of adaptive memetic algorithms: a comparative study

IEEE Transactions on Systems, Man, and Cybernetics, Part B: Cybernetics

Some new results on value ranges of risks for mean-variance portfolio models

Information Sciences: an International Journal
Hybrid Kansei-SOM model using risk management and company assessment for stock trading

Information Sciences: an International Journal

Quantified Score

Hi-index	0.07

Visualization

Abstract

In this paper, we propose the hybrid application of two nature inspired approaches to the problem of Portfolio Optimization. This problem consists of the selection and weighting of financial assets. Its goal is to form an investment strategy which maximizes a return measure and minimizes a risk measure. We perform a series of simulation experiments with historical data in the NASDAQ and S&P500 markets between 2006 and 2008. The results show that adding a terrain strategy to a previously successful Memetic Algorithm promoted niching and speciation of the population, which led to a significant improvement in the performance when compared to previous evolutionary methods. We also show that the use of Memetic Algorithms gives the evolved solutions a degree of adaptability to changes in a dynamic market.