An Evolutionary-based Algorithm for Multi-Period Grouping Stock Portfolio Optimization
Chun-Hao Chen, Chia-Yuan Cheng, Tzung‐Pei Hong, Mu‐En Wu, Kawuu W. Lin, Jerry Chun‐Wei Lin · 2019
In this paper, we propose an algorithm for obtaining a multi-period group stock portfolio based on the grouping genetic algorithm. It encodes a multi-period group stock portfolio into a chromosome by the belonging, grouping, group availability and weight parts. Every chromosome is then evaluated by three factors: the accumulated return, the accumulated safety, and the investment style factors. A front pool which is a set of non-dominated solutions is also maintained to enhance the diversity of the proposed approach. Experiments were conducted on the financial dataset to show the merits of the proposed approach.