教師資料查詢 | 類別: 會議論文 | 教師: 陳俊豪 CHUN-HAO CHEN (瀏覽個人網頁)

標題:Using grouping genetic algorithm to mine diverse group stock portfolio
學年104
學期2
發表日期2016/07/24
作品名稱Using grouping genetic algorithm to mine diverse group stock portfolio
作品名稱(其他語言)
著者Chen, Chun-Hao; Lu, Cheng-Yu; Hong, Tzung-Pei; Su, Ja-Hwung
作品所屬單位
出版者
會議名稱2016 IEEE World Congress on Computational Intelligence (IEEE WCCI)
會議地點Vancouver, Canada
摘要In this paper, to increase the diversity of stock portfolios, the diverse group stock portfolio mining algorithm is proposed by grouping genetic algorithm. Each chromosome is represented by grouping, stock and stock portfolio parts. The fitness function that consists of portfolio satisfaction, group balance and diversity factor is designed to evaluate quality of chromosomes. The diversity factor is used to make the numbers of stock categories in groups as similar as possible. The genetic operations are then executed on population to generate offspring to find the near optimal group stock portfolio. Finally, experiments on a real financial data were made to show the proposed approach is effective.
關鍵字grouping genetic algorithms;group stock portfolio;maximally diverse grouping problem;portfolio optimization
語言英文
收錄於
會議性質國際
校內研討會地點
研討會時間20160724~20160729
通訊作者
國別加拿大
公開徵稿
出版型式
出處2016 IEEE World Congress on Computational Intelligence (IEEE WCCI), pp. 1-5
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