INVESTMENT PORTFOLIO OPTIMIZATION BY APPLYING A GENETIC ALGORITHM-BASED APPROACH
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| Format: | Artículo científico |
| Language: | en |
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Vilniaus Universitetas
2017
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| _version_ | 1876425592828592128 |
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| author | Petras Dubinskas |
| author_facet | Petras Dubinskas |
| contents | INVESTMENT PORTFOLIO OPTIMIZATION BY APPLYING A GENETIC ALGORITHM-BASED APPROACH Petras Dubinskas Laimutė Urbšienė Economía y Finanzas genetic algorithm stochastic programming Artificial intelligence investment portfolio optimization The investment portfolio optimization issues have been widely discussed by scholars for more than 60 years. One of the key issues that emerge for researchers is to clarify which optimization approach helps to build the most efficient portfolio (in this case, the efficiency refers to the minimization of the investment risk and the maximization of the return). The objective of the study is to assess the fitness of a genetic algorithm approach in optimizing the investment portfolio. The paper analyzes the theoretical aspects of applying a genetic algorithm-based approach, then it adapts them to practical research. To build an investment portfolio, four Lithuanian enterprises listed on the OMX Baltics Stock Exchange Official List were selected in accordance with the chosen criteria. Then, by applying a genetic algorithm-based approach and using MatLab software, the optimum investment portfolio was constructed from the selected enterprises. The research results showed that the genetic algorithm-based portfolio in 2013 reached a better risk-return ratio than the portfolio optimized by the deterministic and stochastic programing methods. Also, better outcomes were achieved in comparison with the OMX Baltic Market Index. As a result, the hypothesis of the superiority of a portfolio, optimized on the basis of a genetic algorithm, is not rejected. However, it should be noted that in seeking for more reliable conclusions, further research should include more trial periods as the current study examined a period of one year. In this context, the operation of the approach in the context of a market downturn could be of particular interest. 2017 artículo científico 2424-6166 https://www.redalyc.org/articulo.oa?id=692273662005 10.15388/Ekon.2017.2.10998 en http://www.redalyc.org/revista.oa?id=6922 Ekonomika application/pdf Vilniaus Universitetas Ekonomika (Lituania) Num.2 Vol.96 |
| format | Artículo científico |
| id | redalyc_692273662005 |
| institution | Redalyc |
| language | en |
| publishDate | 2017 |
| publisher | Vilniaus Universitetas |
| spellingShingle | INVESTMENT PORTFOLIO OPTIMIZATION BY APPLYING A GENETIC ALGORITHM-BASED APPROACH Petras Dubinskas Economía y Finanzas genetic algorithm stochastic programming Artificial intelligence investment portfolio optimization INVESTMENT PORTFOLIO OPTIMIZATION BY APPLYING A GENETIC ALGORITHM-BASED APPROACH Petras Dubinskas Laimutė Urbšienė Economía y Finanzas genetic algorithm stochastic programming Artificial intelligence investment portfolio optimization The investment portfolio optimization issues have been widely discussed by scholars for more than 60 years. One of the key issues that emerge for researchers is to clarify which optimization approach helps to build the most efficient portfolio (in this case, the efficiency refers to the minimization of the investment risk and the maximization of the return). The objective of the study is to assess the fitness of a genetic algorithm approach in optimizing the investment portfolio. The paper analyzes the theoretical aspects of applying a genetic algorithm-based approach, then it adapts them to practical research. To build an investment portfolio, four Lithuanian enterprises listed on the OMX Baltics Stock Exchange Official List were selected in accordance with the chosen criteria. Then, by applying a genetic algorithm-based approach and using MatLab software, the optimum investment portfolio was constructed from the selected enterprises. The research results showed that the genetic algorithm-based portfolio in 2013 reached a better risk-return ratio than the portfolio optimized by the deterministic and stochastic programing methods. Also, better outcomes were achieved in comparison with the OMX Baltic Market Index. As a result, the hypothesis of the superiority of a portfolio, optimized on the basis of a genetic algorithm, is not rejected. However, it should be noted that in seeking for more reliable conclusions, further research should include more trial periods as the current study examined a period of one year. In this context, the operation of the approach in the context of a market downturn could be of particular interest. 2017 artículo científico 2424-6166 https://www.redalyc.org/articulo.oa?id=692273662005 10.15388/Ekon.2017.2.10998 en http://www.redalyc.org/revista.oa?id=6922 Ekonomika application/pdf Vilniaus Universitetas Ekonomika (Lituania) Num.2 Vol.96 |
| title | INVESTMENT PORTFOLIO OPTIMIZATION BY APPLYING A GENETIC ALGORITHM-BASED APPROACH |
| topic | Economía y Finanzas genetic algorithm stochastic programming Artificial intelligence investment portfolio optimization |
| url | https://www.redalyc.org/articulo.oa?id=692273662005 |