Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA
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Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA (2012)
ISBN: 9783319293905 bzw. 3319293907, vermutlich in Englisch, neu, Erstausgabe.
This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different investment models with real constraints equivalents to the ones faced by managers of mutual funds, hedge funds, and pension funds. To validate the present solution two case studies are presented for the SP&500 for the period June 2010 until end of 2012. The simulations demonstrates that stock selection based on financial ratios is a combination that can be used to choose the best companies in operational terms, obtaining returns above the market average with low variances in their returns. In this case the optimizer found stocks with high return on investment in a conjunction with high rate of growth of the net income and a high profit margin. To obtain stocks with high valuation potential it is necessary to choose companies with a lower or average market capitalization, low PER, high rates of revenue growth and high operating leverage.
Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA (2012)
ISBN: 9783319293905 bzw. 3319293907, vermutlich in Englisch, Springer Shop, Taschenbuch, neu, Erstausgabe.
This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different investment models with real constraints equivalents to the ones faced by managers of mutual funds, hedge funds, and pension funds. To validate the present solution two case studies are presented for the SP&500 for the period June 2010 until end of 2012. The simulations demonstrates that stock selection based on financial ratios is a combination that can be used to choose the best companies in operational terms, obtaining returns above the market average with low variances in their returns. In this case the optimizer found stocks with high return on investment in a conjunction with high rate of growth of the net income and a high profit margin. To obtain stocks with high valuation potential it is necessary to choose companies with a lower or average market capitalization, low PER, high rates of revenue growth and high operating leverage, Soft cover.
Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA (2012)
ISBN: 9783319293905 bzw. 3319293907, vermutlich in Englisch, Springer-Verlag Gmbh, Taschenbuch, neu, Erstausgabe.
Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA: This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different investment models with real constraints equivalents to the ones faced by managers of mutual funds, hedge funds, and pension funds. To validate the present solution two case studies are presented for the SP&500 for the period June 2010 until end of 2012. The simulations demonstrates that stock selection based on financial ratios is a combination that can be used to choose the best companies in operational terms, obtaining returns above the market average with low variances in their returns. In this case the optimizer found stocks with high return on investment in a conjunction with high rate of growth of the net income and a high profit margin. To obtain stocks with high valuation potential it is necessary to choose companies with a lower or average market capitalization, low PER, high rates of revenue growth and high operating leverage, Englisch, Taschenbuch.
Portfolio Optimization Using Fundamental Indicators Based On Multi-objective Ea (2012)
ISBN: 9783319293905 bzw. 3319293907, vermutlich in Englisch, Springer-Verlag/Sci-Tech/Trade, neu, Erstausgabe.
Antonio Daniel Silva, Rui Ferreira Neves, Nuno Horta, Books, Computers, Portfolio Optimization Using Fundamental Indicators Based On Multi-objective EA, This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different investment models with real constraints equivalents to the ones faced by managers of mutual funds, hedge funds, and pension funds. To validate the present solution two case studies are presented for the SP&500 for the period June 2010 until end of 2012. The simulations demonstrates that stock selection based on financial ratios is a combination that can be used to choose the best companies in operational terms, obtaining returns above the market average with low variances in their returns. In this case the optimizer found stocks with high return on investment in a conjunction with high rate of growth of the net income and a high profit margin. To obtain stocks with high valuation potential it is necessary to choose companies with a lower or average market capitalization, low PER, high rates of revenue growth and high operating leverage.
Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA als von
ISBN: 9783319293905 bzw. 3319293907, in Deutsch, Springer-Verlag GmbH, gebundenes Buch, neu.
Portfolio Optimization Using Fundament. Indicators (2016)
ISBN: 9783319293905 bzw. 3319293907, vermutlich in Englisch, Taschenbuch, neu, Erstausgabe.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA
ISBN: 9783319293905 bzw. 3319293907, vermutlich in Deutsch, Springer International Publishing, Taschenbuch, neu, Erstausgabe.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA (2016)
ISBN: 3319293907 bzw. 9783319293905, vermutlich in Englisch, neu, Erstausgabe.