Applying Investment Satisfied Capability Index and Genetic Algorithms to Construct the Stocks Portfolio

This research adduced process capability indices of quality management to develop a new performance appreciation method. It constructs the capability of a larger-the-better process with process capability index. Not only do investment satisfied capability index (ISCI) and investment satisfied degree evaluates efficiently when construct lower limit of confidence by investment performance indices, but it also judged whether the stocks achieve the requested standard. Furthermore, investors can utilize CSL to realize individual stocks performance rapidly that helps in achieving their satisfaction on investment. Genetic algorithms is then utilized to obtain the optimal weights (or investment weights) that allocate the investment capital effectively. This research used moving interval windows on the weekly data of listed stocks in Taiwan from January 2006 to December 2007. The result has shown that the performance constructed by ISCI and GA is better than the weighted price index of the Taiwan Stock Exchange (TAIEX).