Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA (Record no. 55719)

000 -LEADER
fixed length control field 03287nam a22005535i 4500
001 - CONTROL NUMBER
control field 978-3-319-29392-9
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20200421111844.0
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 160211s2016 gw | s |||| 0|eng d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
ISBN 9783319293929
-- 978-3-319-29392-9
082 04 - CLASSIFICATION NUMBER
Call Number 006.3
100 1# - AUTHOR NAME
Author Silva, Antonio Daniel.
245 10 - TITLE STATEMENT
Title Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA
250 ## - EDITION STATEMENT
Edition statement 1st ed. 2016.
300 ## - PHYSICAL DESCRIPTION
Number of Pages XVII, 95 p. 46 illus., 18 illus. in color.
490 1# - SERIES STATEMENT
Series statement SpringerBriefs in Applied Sciences and Technology,
505 0# - FORMATTED CONTENTS NOTE
Remark 2 Introduction -- Literature Review -- System Architecture -- Multi-Objective optimization -- Simulations in single and multi-objective optimization -- Outlook.
520 ## - SUMMARY, ETC.
Summary, etc 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.
700 1# - AUTHOR 2
Author 2 Neves, Rui Ferreira.
700 1# - AUTHOR 2
Author 2 Horta, Nuno.
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier http://dx.doi.org/10.1007/978-3-319-29392-9
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Koha item type eBooks
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-- Cham :
-- Springer International Publishing :
-- Imprint: Springer,
-- 2016.
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-- text
-- txt
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-- computer
-- c
-- rdamedia
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-- online resource
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-- rdacarrier
347 ## -
-- text file
-- PDF
-- rda
650 #0 - SUBJECT ADDED ENTRY--SUBJECT 1
-- Engineering.
650 #0 - SUBJECT ADDED ENTRY--SUBJECT 1
-- Finance.
650 #0 - SUBJECT ADDED ENTRY--SUBJECT 1
-- Algorithms.
650 #0 - SUBJECT ADDED ENTRY--SUBJECT 1
-- Economics, Mathematical.
650 #0 - SUBJECT ADDED ENTRY--SUBJECT 1
-- Computational intelligence.
650 14 - SUBJECT ADDED ENTRY--SUBJECT 1
-- Engineering.
650 24 - SUBJECT ADDED ENTRY--SUBJECT 1
-- Computational Intelligence.
650 24 - SUBJECT ADDED ENTRY--SUBJECT 1
-- Algorithm Analysis and Problem Complexity.
650 24 - SUBJECT ADDED ENTRY--SUBJECT 1
-- Quantitative Finance.
650 24 - SUBJECT ADDED ENTRY--SUBJECT 1
-- Finance, general.
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE
-- 2191-530X
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-- ZDB-2-ENG

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