Investment portfolio optimization based on genetic algorithm
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F11%3APU92406" target="_blank" >RIV/00216305:26510/11:PU92406 - isvavai.cz</a>
Výsledek na webu
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DOI - Digital Object Identifier
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Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Investment portfolio optimization based on genetic algorithm
Popis výsledku v původním jazyce
The paper describes creation and application of an investment portfolio. For the creating an investment portfolio is used technical approach supported by statistical analysis. Main aim of the paper is to perform statistical analysis of selected financialinstruments and to find connections between the input data using application Adaptrade from Adaptrade Software Company. This application is based on genetic algorithms basis and is able to process this difficult task in real time. Application of geneticalgorithms in developing a model of investment portfolio allows sophisticated analysis and searching of relevant information in the input data than standard algorithmic methods. Genetic algorithms find a more sensitive set of rules for entry, exit and management of speculative positions. The added value of the application of genetic algorithms is sensible setting of the investment portfolio parameters. The case analysis is performed for three world currencies (U.S. dollar, Euro and Brit
Název v anglickém jazyce
Investment portfolio optimization based on genetic algorithm
Popis výsledku anglicky
The paper describes creation and application of an investment portfolio. For the creating an investment portfolio is used technical approach supported by statistical analysis. Main aim of the paper is to perform statistical analysis of selected financialinstruments and to find connections between the input data using application Adaptrade from Adaptrade Software Company. This application is based on genetic algorithms basis and is able to process this difficult task in real time. Application of geneticalgorithms in developing a model of investment portfolio allows sophisticated analysis and searching of relevant information in the input data than standard algorithmic methods. Genetic algorithms find a more sensitive set of rules for entry, exit and management of speculative positions. The added value of the application of genetic algorithms is sensible setting of the investment portfolio parameters. The case analysis is performed for three world currencies (U.S. dollar, Euro and Brit
Klasifikace
Druh
J<sub>x</sub> - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
CEP obor
AE - Řízení, správa a administrativa
OECD FORD obor
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Návaznosti výsledku
Projekt
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Návaznosti
S - Specificky vyzkum na vysokych skolach
Ostatní
Rok uplatnění
2011
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
1st international scientific concerence "Practice and research in private public sector-11"
ISSN
2029-7378
e-ISSN
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Svazek periodika
1
Číslo periodika v rámci svazku
1
Stát vydavatele periodika
LT - Litevská republika
Počet stran výsledku
360
Strana od-do
134-141
Kód UT WoS článku
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EID výsledku v databázi Scopus
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