A double-stage genetic optimization algorithm for portfolio selection

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	A double-stage genetic optimization algorithm for portfolio selection
	Lai, Kin Keung ; Yu, Lean ; Wang, Shouyang; Zhou, Chengxiong
	2006
发表期刊	NEURAL INFORMATION PROCESSING, PT 3, PROCEEDINGS
ISSN	0302-9743
卷号	4234 页码:928-937
摘要	In this study, a double-stage genetic optimization algorithm is proposed for portfolio selection. 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 a genetic algorithm based on Markowitz's theory. Through the two-stage genetic optimization process, an optimal portfolio can be determined. Experimental results reveal that the proposed double-stage genetic optimization algorithm for portfolio selection provides a very feasible and useful tool to assist the investors in planning their investment strategy and constructing their portfolio.
语种	英语
WOS研究方向	Computer Science
WOS类目	Computer Science, Artificial Intelligence ; Computer Science, Hardware & Architecture ; Computer Science, Interdisciplinary Applications ; Computer Science, Theory & Methods
WOS记录号	WOS:000241759000102
出版者	SPRINGER-VERLAG BERLIN
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/3642
专题	系统科学研究所
通讯作者	Lai, Kin Keung
作者单位	1.Hunan Univ, Coll Business Adm, Changsha 410082, Peoples R China 2.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 3.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Lai, Kin Keung,Yu, Lean,Wang, Shouyang,et al. A double-stage genetic optimization algorithm for portfolio selection[J]. NEURAL INFORMATION PROCESSING, PT 3, PROCEEDINGS,2006,4234:928-937.
APA	Lai, Kin Keung,Yu, Lean,Wang, Shouyang,&Zhou, Chengxiong.(2006).A double-stage genetic optimization algorithm for portfolio selection.NEURAL INFORMATION PROCESSING, PT 3, PROCEEDINGS,4234,928-937.
MLA	Lai, Kin Keung,et al."A double-stage genetic optimization algorithm for portfolio selection".NEURAL INFORMATION PROCESSING, PT 3, PROCEEDINGS 4234(2006):928-937.