Portfolio Optimization Using Evolutionary Algorithms

Portfolio Optimization Using Evolutionary Algorithms

Lean Yu (Chinese Academy of Sciences, China & City University of Hong Kong, Hong Kong), Shouyang Wang (Chinese Academy of Sciences, China) and Kin Keung Lai (City University of Hong Kong, Hong Kong)
DOI: 10.4018/978-1-59904-627-3.ch014
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Abstract

In this study, a double-stage evolutionary algorithm is proposed for portfolio optimization. In the first stage, a genetic algorithm is used to identify good-quality assets in terms of asset ranking. In the second stage, investment allocation in the selected good-quality assets is optimized using another genetic algorithm based on Markowitz’s theory. Through the two-stage genetic optimization process, an optimal portfolio can be determined. Experimental results obtained reveal that the proposed double-stage evolutionary algorithm for portfolio optimization provides a very useful tool to assist the investors in planning their investment strategy and constructing their portfolio.

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Table of Contents
Foreword
Walter J. Freeman
Acknowledgment
Franco F. Orsucci, Nicoletta Sala
Chapter 1
Reflexing Interfaces  (pages 1-20)
Franco Orsucci
Since the first production of tools at the beginning of human presence on Earth, evolutionary jumps mark human development. Sometimes these... Sample PDF
Reflexing Interfaces
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Chapter 2
Terry Marks-Tarlow
This chapter interprets the myth of Oedipus in light of interpersonal neurobiology and second-order cybernetics, where observers are... Sample PDF
Riddle of the Sphinx: Paradox Revealed and Reveiled
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Chapter 3
Vladimir Kvasnicka, Jiri Pospichal
This chapter proposes a simple replicator theory of the coevolution of genes and memes. The presented coevolutionary theory assumes that units of... Sample PDF
Theory of Cooperative Coevolution of Genes and Memes
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Chapter 4
Franco Scalzone, Gemma Zontini
In this chapter we will examine some similarities between computer science and psychoanalysis, and we will formulate some hypotheses by bringing... Sample PDF
Thinking Animals and Thinking Machines: What Relations? (with Particular Reference to the Psychoanalytical Point of View)
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Chapter 5
John G. Taylor
Attention is analyzed as the superior control system in the brain from an engineering point of view, with support for this from the way attention is... Sample PDF
Machines Paying Attention
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Chapter 6
Artificial Mind  (pages 83-93)
Rita M.R. Pizzi
The advances of artificial intelligence (AI) have renewed the interest in the mind-body problem, the ancient philosophical debate on the nature of... Sample PDF
Artificial Mind
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Chapter 7
David Vernon
This chapter introduces neurofeedback as a mechanism for altering human brain functioning and in turn influencing behavior. It argues that... Sample PDF
Neurofeedback: Using Computer Technology to Alter Brain Functioning
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Chapter 8
Eleonora Bilotta, Pietro Pantano
This chapter presents an artificial taxonomy of 2-D, self-replicating cellular automata (CA) that can be considered as proto-organisms for structure... Sample PDF
Biological Traits in Artificial Self-Reproducing Systems
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Chapter 9
Marco Tomassini, Leonardo Vanneschi
In the first part of the chapter, evolutionary algorithms are briefly described, especially genetic algorithms and genetic programming, with... Sample PDF
Evolutionary Algorithms in Problem Solving and Machine Learning
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Chapter 10
Hector Sabelli, Gerald H. Thomas
Quantum computing forces a reexamination of logic. We examine its historical roots in logos, the logic of nature, and it is manifested by the laws... Sample PDF
The Future Quantum Computer: Biotic Complexity
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Chapter 11
Alessandro Giuliani
The term network is more and more widespread in all the fields of human investigation from physics to sociology. It evokes a systemic approach to... Sample PDF
Networks: Uses and Misuses of an Emergent Paradigm
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Chapter 12
Gianni A. Di Caro, Frederick Ducatelle, Luca M. Gambardella
Modern telecommunication networks are becoming increasingly complex and dynamic. This is due to their size and heterogeneity, and to the complex... Sample PDF
Theory and Practice of Ant-Based Routing in Dynamic Telecommunication Networks
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Chapter 13
Santo Banerjee, Asesh Roy Chowdhury
The idea of using synchronized chaotic circuits for sending and receiving signals when they are masked using classical cryptography is extended to... Sample PDF
Cryptography, Delayed Dynamical Systems, and Secure Communication
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Chapter 14
Lean Yu, Shouyang Wang, Kin Keung Lai
In this study, a double-stage evolutionary algorithm is proposed for portfolio optimization. In the first stage, a genetic algorithm is used to... Sample PDF
Portfolio Optimization Using Evolutionary Algorithms
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Chapter 15
Francesco Bertoluzzo, Marco Corazza
In this chapter we propose a financial trading system whose trading strategy is developed by means of an artificial neural network approach based on... Sample PDF
Financial Trading Systems: Is Recurrent Reinforcement Learning the Way?
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Chapter 16
Leonardo Castellano, Walter Ambrosetti, Nicoletta Sala
The aim of this chapter is to discuss how far computational fluid dynamics (CFD) is currently able to simulate the limnological physics of a complex... Sample PDF
About the Use of Computational Fluid Dynamics (CFD) in the Framework of Physical Limnological Studies on a Great Lake
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Chapter 17
Renato Saleri Lunazzi
The main goal of this chapter is to present a research project that consists of applying automatic generative methods in design processes. The... Sample PDF
Urban and Architectural 3-D Fast Processing
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Chapter 18
Ljubiša M. Kocic, Liljana R. Stefanovska
This chapter considers a relationship between spirals as proto-complex shapes and human intelligence organized in an information system (IS). We... Sample PDF
Reflections of Spiral Complexity on Art
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Chapter 19
Nicoletta Sala
Fractal geometry can help us to describe the shapes in nature (e.g., ferns, trees, seashells, rivers, mountains) exceeding the limits imposed by... Sample PDF
Fractal Geometry and Computer Science
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About the Contributors