Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA (Record no. 75186)
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| 000 -LEADER | |
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| fixed length control field | 03621nam a22005775i 4500 |
| 001 - CONTROL NUMBER | |
| control field | 978-3-319-29392-9 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20220801213438.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 160211s2016 sz | 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 Computational Intelligence, |
| 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 | https://doi.org/10.1007/978-3-319-29392-9 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | eBooks |
| 264 #1 - | |
| -- | Cham : |
| -- | Springer International Publishing : |
| -- | Imprint: Springer, |
| -- | 2016. |
| 336 ## - | |
| -- | text |
| -- | txt |
| -- | rdacontent |
| 337 ## - | |
| -- | computer |
| -- | c |
| -- | rdamedia |
| 338 ## - | |
| -- | online resource |
| -- | cr |
| -- | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 650 #0 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Computational intelligence. |
| 650 #0 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Algorithms. |
| 650 #0 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Social sciences—Mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Finance. |
| 650 14 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Computational Intelligence. |
| 650 24 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Algorithms. |
| 650 24 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Mathematics in Business, Economics and Finance. |
| 650 24 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Financial Economics. |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| -- | 2625-3712 |
| 912 ## - | |
| -- | ZDB-2-ENG |
| 912 ## - | |
| -- | ZDB-2-SXE |
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