Publication detail

Soft computing as a tool to optimize an investment portfolio

BUDÍK, J. DOSKOČIL, R.

Original Title

Soft computing as a tool to optimize an investment portfolio

Type

journal article - other

Language

English

Original Abstract

The paper describes the creation and application of an investment portfolio. Main aim of the paper is to perform statistical analysis of selected financial instruments and to find a connection between the input data. Authors use application Adaptrade from the Adaptrade software company which is based on genetic algorithms basis and is able to process this difficult task in real time. The case analysis is performed for three world currencies - U. S. dollar, Canadian dollar and Swiss franc. Statistical analysis was performed specifically on the currency couple USD: CAD and USD:CHF. The input data consists of time series, which records the progress of prices of the financial instruments with a period of 15 minutes continuously from Monday 00:00 to Friday 23:00 for the period 2.1.2009 – 14.3.2011.

Keywords

Optimization, soft computing, Adaptrade, genetic algorithms, investment portfolio

Authors

BUDÍK, J.; DOSKOČIL, R.

RIV year

2011

Released

7. 10. 2011

Publisher

Mykolas Romeris University

Location

Vilnius, Litva

ISBN

1822-8011

Periodical

Intellectual Economics

Year of study

5

Number

3

State

Republic of Lithuania

Pages from

359

Pages to

370

Pages count

11

BibTex

@article{BUT74962,
  author="Jan {Budík} and Radek {Doskočil}",
  title="Soft computing as a tool to optimize an investment portfolio",
  journal="Intellectual Economics",
  year="2011",
  volume="5",
  number="3",
  pages="359--370",
  issn="1822-8011"
}