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 en
收錄於
會議性質 國際
校內研討會地點 無
研討會時間 20160724~20160729
通訊作者
國別 CAN
公開徵稿
出版型式
出處 2016 IEEE World Congress on Computational Intelligence (IEEE WCCI), pp. 1-5
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/107497 )