Paper Info
Title
Stock Portfolio Construction Using Evolved Bat Algorithm.
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.
Year
DOI
Venue
2014
10.1007/978-3-319-07455-9_35
Lecture Notes in Computer Science
Keywords
Field
DocType
Stock portfolio,investment portfolio,evolved bat algorithm,swarm intelligence
Econometrics,Application portfolio management,Return on investment,Computer science,Replicating portfolio,Investment strategy,Portfolio insurance,Post-modern portfolio theory,Portfolio,Portfolio optimization,Artificial intelligence,Machine learning
Conference
Volume
ISSN
Citations 
8481
0302-9743
0
PageRank 
References 
Authors
0.34
1
3
Name
Order
Citations
PageRank
Jui-Fang Chang111313.78
Tsai-Wei Yang200.68
Tsai Pei-wei312715.88