語系:
繁體中文
English
說明(常見問題)
回圖書館首頁
手機版館藏查詢
登入
回首頁
切換:
標籤
|
MARC模式
|
ISBD
Portfolio Optimization Using Fundame...
~
Silva, Antonio Daniel.
FindBook
Google Book
Amazon
博客來
Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA
紀錄類型:
書目-電子資源 : Monograph/item
正題名/作者:
Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA/ by Antonio Daniel Silva, Rui Ferreira Neves, Nuno Horta.
作者:
Silva, Antonio Daniel.
其他作者:
Neves, Rui Ferreira.
出版者:
Cham :Springer International Publishing : : 2016.,
面頁冊數:
xvii, 95 p. :ill., digital ;24 cm.
內容註:
Introduction -- Literature Review -- System Architecture -- Multi-Objective optimization -- Simulations in single and multi-objective optimization -- Outlook.
Contained By:
Springer eBooks
標題:
Portfolio management - Mathematical models. -
電子資源:
http://dx.doi.org/10.1007/978-3-319-29392-9
ISBN:
9783319293929$q(electronic bk.)
Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA
Silva, Antonio Daniel.
Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA
[electronic resource] /by Antonio Daniel Silva, Rui Ferreira Neves, Nuno Horta. - Cham :Springer International Publishing :2016. - xvii, 95 p. :ill., digital ;24 cm. - SpringerBriefs in applied sciences and technology,2191-530X. - SpringerBriefs in applied sciences and technology..
Introduction -- Literature Review -- System Architecture -- Multi-Objective optimization -- Simulations in single and multi-objective optimization -- Outlook.
This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different investment models with real constraints equivalents to the ones faced by managers of mutual funds, hedge funds, and pension funds. To validate the present solution two case studies are presented for the SP&500 for the period June 2010 until end of 2012. The simulations demonstrates that stock selection based on financial ratios is a combination that can be used to choose the best companies in operational terms, obtaining returns above the market average with low variances in their returns. In this case the optimizer found stocks with high return on investment in a conjunction with high rate of growth of the net income and a high profit margin. To obtain stocks with high valuation potential it is necessary to choose companies with a lower or average market capitalization, low PER, high rates of revenue growth and high operating leverage.
ISBN: 9783319293929$q(electronic bk.)
Standard No.: 10.1007/978-3-319-29392-9doiSubjects--Topical Terms:
647826
Portfolio management
--Mathematical models.
LC Class. No.: HG4529.5
Dewey Class. No.: 332.6
Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA
LDR
:02425nmm a2200325 a 4500
001
2030883
003
DE-He213
005
20160824131847.0
006
m d
007
cr nn 008maaau
008
160908s2016 gw s 0 eng d
020
$a
9783319293929$q(electronic bk.)
020
$a
9783319293905$q(paper)
024
7
$a
10.1007/978-3-319-29392-9
$2
doi
035
$a
978-3-319-29392-9
040
$a
GP
$c
GP
041
0
$a
eng
050
4
$a
HG4529.5
072
7
$a
UYQ
$2
bicssc
072
7
$a
COM004000
$2
bisacsh
082
0 4
$a
332.6
$2
23
090
$a
HG4529.5
$b
.S586 2016
100
1
$a
Silva, Antonio Daniel.
$3
2182940
245
1 0
$a
Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA
$h
[electronic resource] /
$c
by Antonio Daniel Silva, Rui Ferreira Neves, Nuno Horta.
260
$a
Cham :
$b
Springer International Publishing :
$b
Imprint: Springer,
$c
2016.
300
$a
xvii, 95 p. :
$b
ill., digital ;
$c
24 cm.
490
1
$a
SpringerBriefs in applied sciences and technology,
$x
2191-530X
505
0
$a
Introduction -- Literature Review -- System Architecture -- Multi-Objective optimization -- Simulations in single and multi-objective optimization -- Outlook.
520
$a
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.
650
0
$a
Portfolio management
$x
Mathematical models.
$3
647826
650
1 4
$a
Engineering.
$3
586835
650
2 4
$a
Computational Intelligence.
$3
1001631
650
2 4
$a
Algorithm Analysis and Problem Complexity.
$3
891007
650
2 4
$a
Quantitative Finance.
$3
891090
650
2 4
$a
Finance, general.
$3
2162279
700
1
$a
Neves, Rui Ferreira.
$3
2182941
700
1
$a
Horta, Nuno.
$3
2134696
710
2
$a
SpringerLink (Online service)
$3
836513
773
0
$t
Springer eBooks
830
0
$a
SpringerBriefs in applied sciences and technology.
$3
1565541
856
4 0
$u
http://dx.doi.org/10.1007/978-3-319-29392-9
950
$a
Engineering (Springer-11647)
筆 0 讀者評論
館藏地:
全部
電子資源
出版年:
卷號:
館藏
1 筆 • 頁數 1 •
1
條碼號
典藏地名稱
館藏流通類別
資料類型
索書號
使用類型
借閱狀態
預約狀態
備註欄
附件
W9278147
電子資源
11.線上閱覽_V
電子書
EB HG4529.5 .S586 2016
一般使用(Normal)
在架
0
1 筆 • 頁數 1 •
1
多媒體
評論
新增評論
分享你的心得
Export
取書館
處理中
...
變更密碼
登入