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

標題:A series-based group stock portfolio optimization approach using the grouping genetic algorithm with symbolic aggregate approximations
學年105
學期2
出版(發表)日期2017/06/01
作品名稱A series-based group stock portfolio optimization approach using the grouping genetic algorithm with symbolic aggregate approximations
作品名稱(其他語言)ㄧ個利用群組遺傳演算法與符號化聚合近似之序列為基礎的群組股票投資組合最佳化方法
著者C. H. Chen; C. H. Yu
單位
出版者
著錄名稱、卷期、頁數Knowledge-Based Systems 125, p.146–163
摘要Stock portfolio optimization is both an attractive research topic and a complex problem due to the rapidly changing economy. Based on optimization techniques, many algorithms have been proposed to mine different portfolios. In the previous approach, a group stock portfolio (GSP) was derived based on the investors' objective and subjective requests by the grouping genetic algorithm. Stocks were divided into groups, with those in the same group being similar. The benefit of using a GSP is that investors can replace any stock that they do not like with substitute stocks in the same group. To increase the similarity of stocks in groups, stock price series are taken into consideration, and an enhanced approach is proposed to derive a series-based GSP that can be used to provide more actionable stock portfolios to investors making decisions. In chromosome representation, grouping, stock and stock portfolio parts are used to represent a GSP as did the previous approach. To increase the return and similarity of a GSP, the stability factor is designed based on cash dividends, and the unit and price balances are utilized as well. Because the dimension of stock price series is high, the symbolic aggregate approximation (SAX) and extended symbolic aggregate approximation (ESAX) are selected to transform data points into symbols. Then, the series distance factor is presented to evaluate the similarity of stock price series in groups of a GSP. By using the new factors and the existing factors in the previous approach, two new fitness functions are developed to evaluate the quality of chromosomes. Experiments on a real-world dataset were conducted to show the merits of the proposed approach using the two fitness functions with SAX and ESAX. The results show that the return on investment (ROI) of the proposed approach using the fitness functions with SAX is approximately 16% to 18% and better than the ROI obtained with ESAX. However, the proposed approach with ESAX achieves better group similarity than does SAX.
關鍵字Extended symbolic aggregate approximation;Grouping genetic algorithm;Group stock portfolio;Symbolic aggregate approximation;Stock price series
語言英文
ISSN0950-7051
期刊性質國外
收錄於SCI;
產學合作
通訊作者
審稿制度
國別荷蘭
公開徵稿
出版型式,電子版,紙本
相關連結
Google+ 推薦功能,讓全世界都能看到您的推薦!