Description: Portfolio Optimization Using Fundamental Indicators Based on Multi-objective Ea, Paperback by Silva, António Daniel; Neves, Rui Ferreira; Horta, Nuno, ISBN 3319293907, ISBN-13 9783319293905, Brand New, Free shipping in the US 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
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Book Title: Portfolio Optimization Using Fundamental Indicators Based on Mult
Number of Pages: Xvii, 95 Pages
Publication Name: Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective Ea
Language: English
Publisher: Springer International Publishing A&G
Publication Year: 2016
Subject: Engineering (General), Programming / Algorithms, Investments & Securities / Portfolio Management, Intelligence (Ai) & Semantics
Type: Textbook
Item Weight: 66.4 Oz
Subject Area: Computers, Technology & Engineering, Business & Economics
Item Length: 9.3 in
Author: Rui Ferreira Neves, Nuno Horta, Antonio Daniel Silva
Series: Springerbriefs in Applied Sciences and Technology Ser.
Item Width: 6.1 in
Format: Trade Paperback
