A portfolio selection model using genetic relation algorithm and genetic network programming

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  author =       "Yan Chen and Kotaro Hirasawa and Shingo Mabu",
  title =        "A portfolio selection model using genetic relation
                 algorithm and genetic network programming",
  booktitle =    "IEEE International Conference on Systems, Man and
                 Cybernetics, SMC 2009",
  year =         "2009",
  month =        "11-14 " # oct,
  pages =        "4378--4383",
  abstract =     "In this paper, a new evolutionary method named genetic
                 relation algorithm (GRA) has been proposed and applied
                 to the portfolio selection problem. The number of
                 brands in the stock market is generally very large,
                 therefore, techniques for selecting the effective
                 portfolio are likely to be of interest in the financial
                 field. In order to pick up a fixed number of the most
                 efficient portfolio, the proposed model considers the
                 correlation coefficient between stocks as strength,
                 which indicates the relationship between nodes in GRA.
                 The algorithm evaluates the relationships between stock
                 brands using a specific measure of strength and
                 generates the optimal portfolio in the final
                 generation. The efficiency of GRA method is confirmed
                 by the stock trading model using genetic network
                 programming (GNP) that has been proposed in the
                 previous study. We present the experimental results
                 obtained by GRA and compare them with those obtained by
                 traditional method, and it is clarified that the
                 proposed model can obtain much higher profits than the
                 traditional one.",
  keywords =     "genetic algorithms, genetic programming, genetic
                 network programming, correlation coefficient,
                 evolutionary method, genetic relation algorithm,
                 portfolio selection model, stock market, stock
  DOI =          "doi:10.1109/ICSMC.2009.5346940",
  ISSN =         "1062-922X",
  notes =        "Also known as \cite{5346940}",

Genetic Programming entries for Yan Chen Kotaro Hirasawa Shingo Mabu