Abstract
Investment portfolio construction is always a popular issue for the investors. In this paper, we utilize Investment Satisfied Capability Index (ISCI) to sieve out the potential candidate stocks and then use Evolved Bat Algorithm (EBA) to construct the portfolio for stock investment. Three years historical daily Return on Investment (ROI) data from 2008 to 2010 is included in the experiment in order to test and verify the performance of the constructed stock portfolio by EBA. The experimental result is compared with the investment results from Taiwan broader market and Taiwan Top 50 Tracker Fund of Taiwan Yuanta Securities. The experimental result indicates that our proposed approach provides an efficient portfolio for the stock investment.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Benjelloun, H.: Evans and Archer – forty years later. Investment Management and Financial Innovations 7(1), 98–104 (2010)
Chang, J.-F., Chang, C.-W.: Comparison of DPEI and ISCIFCM Indexes Based on PSO Capital Weighting. ICIC Express Letters 5(4(B)), 1353–1358 (2011)
Chang, J.-F., Chen, J.-F., Lin, S.-H.: Applying Investment Satisfied Capability Index and Particle Swarm Optimization to Construct the Stocks Portfolio. In: 3rd International Conference on Innovative Computing, Information and Control. IEEE Press, Dalian (2008)
Chang, J.-F., Chen, K.-L.: Applying New Investment Satisfied Capability Index and Particle Swarm Optimization to Construct Stock Portfolio. ICIC Express Letters 3(3), 349–355 (2009)
Chang, J.-F., Shi, P.: Using Investment Satisfaction Capability Index Based Particle Swarm Optimization to Construct a Stock Portfolio. Information Sciences 181(14), 2989–2999 (2011)
Chen, K.S., Pearn, W.L.: Capability indices for processes with asymmetric tolerances. Journal of the Chinese Institute of Engineers 24(5), 559–568 (2001)
Chou, M.-H.: Chou: Analysis the Timing Stock Picking Ability of China’s Open-end Funds. Web Journal of Chinese Management Review 12(1) (2009)
Chou, Y.-M., Owen, D.-B.: On the distributions of the estimated process capability indices. Communications in Statistics: Theory and Methods 18(2), 4549–4560 (1989)
Lin, P.-C.: An Application of Genetic Algorithms on User-Oriented Portfolio Selection. Journal of Information Management 7(1) (2000)
Markowitz, H.: Portfolio Selection. The Journal of Fiance 7(1), 77–91 (1952)
Tsai, P.-W., Pan, J.-S., Liao, B.-Y., Tsai, M.-J., Vaci, I.: Bat Algorithm Inspired Algorithm for Solving Numerical Optimization Problems. Applied Mechanics and Materials 148-149, 134–137 (2012)
Yang, X.-S.: A New Metaheuristic Bat-Inspired Algorithm. In: González, J.R., Pelta, D.A., Cruz, C., Terrazas, G., Krasnogor, N. (eds.) NICSO 2010. SCI, vol. 284, pp. 65–74. Springer, Heidelberg (2010)
Yang, X.-S.: Nature-Inspired Metaheuristic Algorithms. Luniver Press, United Kindom (2010)
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2014 Springer International Publishing Switzerland
About this paper
Cite this paper
Chang, JF., Yang, TW., Tsai, PW. (2014). Stock Portfolio Construction Using Evolved Bat Algorithm. In: Ali, M., Pan, JS., Chen, SM., Horng, MF. (eds) Modern Advances in Applied Intelligence. IEA/AIE 2014. Lecture Notes in Computer Science(), vol 8481. Springer, Cham. https://doi.org/10.1007/978-3-319-07455-9_35
Download citation
DOI: https://doi.org/10.1007/978-3-319-07455-9_35
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-07454-2
Online ISBN: 978-3-319-07455-9
eBook Packages: Computer ScienceComputer Science (R0)