Přístupnostní navigace
E-application
Search Search Close
Publication detail
BUDÍK, J. DOSKOČIL, R.
Original Title
Investment portfolio optimization based on genetic algorithm
Type
journal article - other
Language
English
Original Abstract
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 financial instruments 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 genetic algorithms 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 British pound). The connections between the input data found by sophisticated statistical analysis are suitable for decision making in the financial markets for investment and speculations.
Keywords
optimization, artificial intelligence, genetic algorithms, evolution, foreign exchange, datamining
Authors
BUDÍK, J.; DOSKOČIL, R.
RIV year
2011
Released
5. 5. 2011
Publisher
Mykolas Romerias University
Location
Vilnius, Litva
ISBN
2029-7378
Periodical
1st international scientific concerence "Practice and research in private public sector-11"
Year of study
1
Number
State
Republic of Lithuania
Pages from
134
Pages to
141
Pages count
360
BibTex
@article{BUT36408, author="Jan {Budík} and Radek {Doskočil}", title="Investment portfolio optimization based on genetic algorithm", journal="1st international scientific concerence {"}Practice and research in private public sector-11{"}", year="2011", volume="1", number="1", pages="134--141", issn="2029-7378" }