Title of article :
A modelofportfoliooptimizationusingtimeadaptinggenetic
network programming
Author/Authors :
Yan Chen ، نويسنده , , ShingoMabub، نويسنده , , KotaroHirasawa، نويسنده ,
Issue Information :
ماهنامه با شماره پیاپی سال 2010
Abstract :
This paperdescribesadecision-makingmodelofdynamicportfoliooptimizationforadaptingtothe
changeofstockpricesbasedonanevolutionarycomputationmethodnamedgeneticnetwork
programming(GNP).Theproposedmodel,makinguseoftheinformationfromtechnicalindicesand
candlestickchart,istrainedtogenerateportfolioinvestmentadvice.Experimentalresultsonthe
Japanesestockmarketshowthatthedecision-makingmodelusingtimeadaptinggeneticnetwork
programming(TA-GNP)methodoutperformsothertraditionalmodelsintermsofbothaccuracyand
efficiency.Acomprehensiveanalysisoftheresultsisprovided,anditisclarifiedthattheTA-GNP
methodiseffectiveontheportfoliooptimizationproblem.
Keywords :
Reinforcement learning , Technical indices , Genetic network programming , Portfolio optimization , Candlestick chart
Journal title :
Computers and Operations Research
Journal title :
Computers and Operations Research
