Adopting genetic algorithm for portfolio management

Authors

Tak Chung Fu, Hong Kong Institute of Vocational Education (Sha Tin), Vocational Training CouncilFollow
Chak Man Ng, Vocational Training CouncilFollow
Chi Pang Chung, The Hong Kong Polytechnic University
Fu Lai Chung, The Hong Kong Polytechnic University

Document Type

Conference Proceeding

Publication Date

2012

DOI

10.1109/ICNC.2012.6234511

Abstract

This research examines two different applications of the Genetic Algorithms (GA) in portfolio management. GA is adopted to determine the optimized parameter settings of different technical indicators and portfolio weighting. Different algorithms and the usage of different number of technical indicators are evaluated in different economic situation and GA shows its optimization power over different tasks in portfolio management.

Source Publication

The 8th International Conference on Natural Computation, 2012 May 29-31, Sichuan, China

ISSN

2157-9555

ISBN

9781457721304

First Page

1151

Last Page

1155

Recommended Citation

Fu, T.,Ng, C.,Chung, C.,& Chung, F. (2012). Adopting genetic algorithm for portfolio management. The 8th International Conference on Natural Computation, 2012 May 29-31, Sichuan, China, 1151-1155. http://dx.doi.org/10.1109/ICNC.2012.6234511