Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA (SpringerBriefs in Applied Sciences and Technology)

Silva, Antonio Daniel; Neves, Rui Ferreira; Horta, Nuno

ISBN 10: 3319293907 / ISBN 13: 9783319293905

Verlag: Springer, 2016

Beschreibung

pp. 95.

Bestandsnummer des Verkäufers 26375166678

Bibliografische Details

• Titel: Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA (SpringerBriefs in Applied Sciences and Technology)
• Verlag: Springer
• Erscheinungsjahr: 2016
• Sprache: Englisch
• ISBN-10: 3319293907
• ISBN-13: 9783319293905
• Einband: Softcover
• Zustand: New

Über diesen Titel

Inhaltsangabe

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

Über die Autorin bzw. den Autor

Charlotte y Peter Fiell son dos autoridades en historia, teoría y crítica del diseño y han escrito más de sesenta libros sobre la materia, muchos de los cuales se han convertido en éxitos de ventas. También han impartido conferencias y cursos como profesores invitados, han comisariado exposiciones y asesorado a fabricantes, museos, salas de subastas y grandes coleccionistas privados de todo el mundo. Los Fiell han escrito numerosos libros para TASCHEN, entre los que se incluyen 1000 Chairs, Diseño del siglo XX, El diseño industrial de la A a la Z, Scandinavian Design y Diseño del siglo XXI.