000 03621nam a22005775i 4500
001 978-3-319-29392-9
003 DE-He213
005 20220801213438.0
007 cr nn 008mamaa
008 160211s2016 sz | s |||| 0|eng d
020 _a9783319293929
_9978-3-319-29392-9
024 7 _a10.1007/978-3-319-29392-9
_2doi
050 4 _aQ342
072 7 _aUYQ
_2bicssc
072 7 _aTEC009000
_2bisacsh
072 7 _aUYQ
_2thema
082 0 4 _a006.3
_223
100 1 _aSilva, Antonio Daniel.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
_932066
245 1 0 _aPortfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA
_h[electronic resource] /
_cby Antonio Daniel Silva, Rui Ferreira Neves, Nuno Horta.
250 _a1st ed. 2016.
264 1 _aCham :
_bSpringer International Publishing :
_bImprint: Springer,
_c2016.
300 _aXVII, 95 p. 46 illus., 18 illus. in color.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aSpringerBriefs in Computational Intelligence,
_x2625-3712
505 0 _aIntroduction -- Literature Review -- System Architecture -- Multi-Objective optimization -- Simulations in single and multi-objective optimization -- Outlook.
520 _aThis 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 _aComputational intelligence.
_97716
650 0 _aAlgorithms.
_93390
650 0 _aSocial sciences—Mathematics.
_931863
650 0 _aFinance.
_914133
650 1 4 _aComputational Intelligence.
_97716
650 2 4 _aAlgorithms.
_93390
650 2 4 _aMathematics in Business, Economics and Finance.
_931864
650 2 4 _aFinancial Economics.
_932067
700 1 _aNeves, Rui Ferreira.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
_932068
700 1 _aHorta, Nuno.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
_932069
710 2 _aSpringerLink (Online service)
_932070
773 0 _tSpringer Nature eBook
776 0 8 _iPrinted edition:
_z9783319293905
776 0 8 _iPrinted edition:
_z9783319293912
830 0 _aSpringerBriefs in Computational Intelligence,
_x2625-3712
_932071
856 4 0 _uhttps://doi.org/10.1007/978-3-319-29392-9
912 _aZDB-2-ENG
912 _aZDB-2-SXE
942 _cEBK
999 _c75186
_d75186