A study on investment decision making model: genetic algorithms approach

Author

Lin, Wen-Shiu ; Chen, Jiah-Shing ; Lin, Ping-Chen

Author_Institution

Dept. of Inf. Manage., Nat. Central Univ., Chung-Li, Taiwan

Volume

1

fYear

1999

fDate

1999

Firstpage

1049

Abstract

Genetic algorithms (GAs) are becoming a paramount research method because of their robustness due to mimicking the natural evolution mechanism. Genetic algorithms can easily learn to adapt to complex environments. The paper studies the application of genetic algorithms on a user-oriented “investment decision-making model”. The portfolio selection considers users´ preferences in addition to the common return and risk factors. Preliminary results show that the portfolios generated by GAs outperform some of the better mutual funds and the index

Keywords

decision theory; genetic algorithms; investment; common return factors; complex environments; genetic algorithms approach; index; investment decision making model; mutual funds; natural evolution mechanism; risk factors; user-oriented model; users´ preferences; Decision making; Genetic algorithms; Information management; Investments; Mathematical model; Mathematics; Mutual funds; Portfolios; Quadratic programming; Robustness;

fLanguage

English

Publisher

ieee

Conference_Titel

Systems, Man, and Cybernetics, 1999. IEEE SMC '99 Conference Proceedings. 1999 IEEE International Conference on

Conference_Location

Tokyo

ISSN

1062-922X

Print_ISBN

0-7803-5731-0

Type

conf

DOI

10.1109/ICSMC.1999.814238

Filename

814238