Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/57836
Type: Artigo de periódico
Title: Money in trees: How memes, trees, and isolation can optimize financial portfolios
Author: Aranha, C
Azevedo, CRB
Iba, H
Abstract: In this paper, we propose the hybrid application of two nature inspired approaches to the problem of Portfolio Optimization. This problem consists of the selection and weighting of financial assets. Its goal is to form an investment strategy which maximizes a return measure and minimizes a risk measure. We perform a series of simulation experiments with historical data in the NASDAQ and S&P500 markets between 2006 and 2008. The results show that adding a terrain strategy to a previously successful Memetic Algorithm promoted niching and speciation of the population, which led to a significant improvement in the performance when compared to previous evolutionary methods. We also show that the use of Memetic Algorithms gives the evolved solutions a degree of adaptability to changes in a dynamic market. (C) 2011 Elsevier Inc. All rights reserved.
Subject: Memetic Algorithms
Cellular Memetic Algorithms
Financial Engineering
Portfolio Optimization
Country: EUA
Editor: Elsevier Science Inc
Rights: fechado
Identifier DOI: 10.1016/j.ins.2011.05.023
Date Issue: 2012
Appears in Collections:Unicamp - Artigos e Outros Documentos

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