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    題名: Mining group stock portfolio by using grouping genetic algorithms
    作者: Chen, C. H.;Lin, C. B.;Chen, C. C.
    關鍵詞: data mining;genetic algorithms;grouping genetic algorithms;grouping problems;stock portfolio optimization
    日期: 2015-12-12
    上傳時間: 2016-04-27 11:11:59 (UTC+8)
    出版者: IEEE
    摘要: In this paper, a grouping genetic algorithm based approach is proposed for dividing stocks into groups and mining a set of stock portfolios, namely group stock portfolio. Each chromosome consists of three parts. Grouping and stock parts are used to indicate how to divide stocks into groups. Stock portfolio part is used to represent the purchased stocks and their purchased units. The fitness of each chromosome is evaluated by the group balance and the portfolio satisfaction. The group balance is utilized to make the groups represented by the chromosome have as similar number of stocks as possible. The portfolio satisfaction is used to evaluate the goodness of profits and satisfaction of investor's requests of all possible portfolio combinations that can generate from a chromosome. Experiments on a real data were also made to show the effectiveness of the proposed approach.
    關聯: Evolutionary Computation (CEC), 2015 IEEE, pp.738-743
    DOI: 10.1109/CEC.2015.7256964
    顯示於類別:[資訊工程學系暨研究所] 會議論文

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