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Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA

  • Antonio Daniel Silva
  • Rui Ferreira Neves
  • Nuno Horta

Part of the SpringerBriefs in Applied Sciences and Technology book series (BRIEFSAPPLSCIENCES)

Also part of the SpringerBriefs in Computational Intelligence book sub series (BRIEFSINTELL)

Table of contents

  1. Front Matter
    Pages i-xvii
  2. António Daniel Silva, Rui Ferreira Neves, Nuno Horta
    Pages 1-4
  3. António Daniel Silva, Rui Ferreira Neves, Nuno Horta
    Pages 5-37
  4. António Daniel Silva, Rui Ferreira Neves, Nuno Horta
    Pages 39-56
  5. António Daniel Silva, Rui Ferreira Neves, Nuno Horta
    Pages 57-72
  6. António Daniel Silva, Rui Ferreira Neves, Nuno Horta
    Pages 73-87
  7. António Daniel Silva, Rui Ferreira Neves, Nuno Horta
    Pages 89-90
  8. Back Matter
    Pages 91-95

About this book

Introduction

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

Keywords

Computational Finance Financial Statements Fundamental Analysis Multi-objective evolutionary Algorithm Portfolio Composition

Authors and affiliations

  • Antonio Daniel Silva
    • 1
  • Rui Ferreira Neves
    • 2
  • Nuno Horta
    • 3
  1. 1./Instituto Superior TécnicoInstituto de TelecomunicaçõesLisbonPortugal
  2. 2.Instituto Superior TécnicoInstituto de TelecomunicaçõesLisbonPortugal
  3. 3.Instituto Superior TécnicoInstituto de Telecomunicações/LisbonPortugal

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-29392-9
  • Copyright Information The Author(s) 2016
  • Publisher Name Springer, Cham
  • eBook Packages Engineering
  • Print ISBN 978-3-319-29390-5
  • Online ISBN 978-3-319-29392-9
  • Series Print ISSN 2191-530X
  • Series Online ISSN 2191-5318
  • Buy this book on publisher's site
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