Portfolio Optimization Using Fundamental Indicators Based on Multi Objective EA is popular PDF and ePub book, written by Antonio Daniel Silva in 2016-02-11, it is a fantastic choice for those who relish reading online the Technology & Engineering genre. Let's immerse ourselves in this engaging Technology & Engineering book by exploring the summary and details provided below. Remember, Portfolio Optimization Using Fundamental Indicators Based on Multi Objective EA can be Read Online from any device for your convenience.
Portfolio Optimization Using Fundamental Indicators Based on Multi Objective EA Book PDF Summary
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
Detail Book of Portfolio Optimization Using Fundamental Indicators Based on Multi Objective EA PDF
- Author : Antonio Daniel Silva
- Release : 11 February 2016
- Publisher : Springer
- ISBN : 9783319293929
- Genre : Technology & Engineering
- Total Page : 108 pages
- Language : English
- PDF File Size : 8,9 Mb
If you're still pondering over how to secure a PDF or EPUB version of the book Portfolio Optimization Using Fundamental Indicators Based on Multi Objective EA by Antonio Daniel Silva, don't worry! All you have to do is click the 'Get Book' buttons below to kick off your Download or Read Online journey. Just a friendly reminder: we don't upload or host the files ourselves.