Abstract
Investment portfolio construction is always a popular issue for the investors. In this paper, we utilize Investment Satisfied Capability Index (ISCI) to sieve out the potential candidate stocks and then use Evolved Bat Algorithm (EBA) to construct the portfolio for stock investment. Three years historical daily Return on Investment (ROI) data from 2008 to 2010 is included in the experiment in order to test and verify the performance of the constructed stock portfolio by EBA. The experimental result is compared with the investment results from Taiwan broader market and Taiwan Top 50 Tracker Fund of Taiwan Yuanta Securities. The experimental result indicates that our proposed approach provides an efficient portfolio for the stock investment.
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Chang, JF., Yang, TW., Tsai, PW. (2014). Stock Portfolio Construction Using Evolved Bat Algorithm. In: Ali, M., Pan, JS., Chen, SM., Horng, MF. (eds) Modern Advances in Applied Intelligence. IEA/AIE 2014. Lecture Notes in Computer Science(), vol 8481. Springer, Cham. https://doi.org/10.1007/978-3-319-07455-9_35
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DOI: https://doi.org/10.1007/978-3-319-07455-9_35
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-07454-2
Online ISBN: 978-3-319-07455-9
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