Abstract:
This study proposes a yield-to-maturity (YTM)-based genetic portfolio selection model with user defined constraints, namely YTMGPSM. A set of real numbers are encoded int...Show MoreMetadata
Abstract:
This study proposes a yield-to-maturity (YTM)-based genetic portfolio selection model with user defined constraints, namely YTMGPSM. A set of real numbers are encoded into a chromosome to form a possible portfolio, which presents whether buy or not buy and purchased units of assets. The fitness value of a chromosome is evaluated by return on investment, value at risk and suitability of the respective portfolio. The suitability of a chromosome consists of portfolio penalty and investment capital penalty that are used to reflect the satisfactions of user predefined maximum investment and maximum number of companies, respectively. Experiments on real dataset are made to show the merits of the proposed approach.
Date of Conference: 13-15 December 2013
Date Added to IEEE Xplore: 17 February 2014
Electronic ISBN:978-1-4799-1282-7