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This paper proposes a new strategy β-GRA for portfolio selection in which the return and risk are considered as measures of strength in Genetic Relation Algorithm (GRA). Since the portfolio beta β efficiently measures the volatility relative to the benchmark index or the capital market, β is usually employed for portfolio evaluation or prediction, but scarcely for portfolio construction process. The...
The classical portfolio problem is a problem of distributing capital to a set of stocks. By adapting to the change of stock prices, this study proposes an portfolio investment strategy based on an evolutionary method named ldquoGenetic Network Programmingrdquo (GNP). This method makes use of the information from Technical Indices and Candlestick Chart. The proposed portfolio model, consisting of technical...
The survey of the relevant literature showed that there have been many studies for portfolio optimization problem and that the number of studies which have investigated the optimum portfolio using evolutionary computation is quite high. But almost none of these studies deals with genetic relation algorithm (GRA). This study presents an approach to large-scale portfolio optimization problem using GRA...
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