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Portfolio algorithm based on portfolio beta using genetic algorithm
11 references·14 citing·33 second hop
Portfolio algorithm based on portfolio beta using genetic algorithm (2005)Portfolio algorithm based on portfolio be…Usefulness of artificial neural networks for early warning system of economic crisis (2004)Usefulness of artificial neur…A model for portfolio selection with order of expected returns (2000)A model for portfolio selecti…Continuous-Time Finance. (1991)Continuous-Time Finance.Financial Theory and Corporate Policy (1981)Financial Theory and Corporat…Financial Theory and Corporate Policy. (1980)Financial Theory and Corporat…OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966. (1975)OPTIMAL INVESTMENT AND CONSUM…Multiperiod Consumption-Investment Decisions (1975)Multiperiod Consumption-Inves…Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions (1970)Optimal Investment and Consum…Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Portfolio Selection (1952)Portfolio SelectionAn integrated framework of genetic network programming and multi-layer perceptron neural network for prediction of daily stock return: An application in Tehran stock exchange market (2019)An integrated framework of ge…A constrained portfolio selection model at considering risk-adjusted measure by using hybrid meta-heuristic algorithms (2018)A constrained portfolio selec…Using genetic algorithm to support clustering-based portfolio optimization by investor information (2017)Using genetic algorithm to su…An intelligent hybrid trading system for discovering trading rules for the futures market using rough sets and genetic algorithms (2017)An intelligent hybrid trading…Incorporating Markov decision process on genetic algorithms to formulate trading strategies for stock markets (2016)Incorporating Markov decision…Developing a rule change trading system for the futures market using rough set analysis (2016)Developing a rule change trad…Ensemble learning of rule-based evolutionary algorithm using multi-layer perceptron for supporting decisions in stock trading problems (2015)Ensemble learning of rule-bas…Robust optimization framework for cardinality constrained portfolio problem (2011)Robust optimization framework…A review of credibilistic portfolio selection (2009)A review of credibilistic por…A model of portfolio optimization using time adapting genetic network programming (2009)A model of portfolio optimiza…A genetic network programming with learning approach for enhanced stock trading model (2009)A genetic network programming…Portfolio value-at-risk forecasting with GA-based extreme value theory (2008)Portfolio value-at-risk forec…Constructing investment strategy portfolios by combination genetic algorithms (2008)Constructing investment strat…Expert systems and evolutionary computing for financial investing: A review (2007)Expert systems and evolutiona…Risk Aversion in the Small and in the Large (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)COMPONENTS OF INVESTMENT PERFORMANCE* (1972)Intertemporal Asset Pricing with Heterogeneous Consumers and Without Demand Aggregation (1982)The Valuation of Uncertain Income Streams and the Pricing of Options (2010)Modern Portfolio Theory and Investment Analysis. (1982)Using genetic algorithm to support portfolio optimization for index fund management (2004)A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs (2012)A comprehensive review of deterministic models and applications for mean-variance portfolio optimization (2019)Theory of Games and Economic Behavior (1946)ON THE THEORY OF FINANCIAL INTERMEDIATION (1971)An Asymptotic Theory of Growth Under Uncertainty (1975)Risk Aversion in the Small and in the Large (1976)Modern portfolio theory, 1950 to date (2011)Natural disasters impacting a macroeconomic model with endogenous dynamics (2008)Socially Responsible Investment: A multicriteria approach to portfolio selection combining ethical and financial objectives (2011)Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds (2013)Universal Portfolios (1991)Aspects of Rational Insurance Purchasing (1992)Organizational Culture: Can It Be a Source of Sustained Competitive Advantage? (1986)Diversification's effect on firm value (1995)Shareholder value, stakeholder management, and social issues: what's the bottom line? (2001)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods (1974)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
this work references cited by second hop

References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1952Portfolio Selection4,609 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1980Financial Theory and Corporate Policy.1,699 cited
  • 1968Optimal Multiperiod Portfolio Policies779 cited
  • 1975Multiperiod Consumption-Investment Decisions448 cited
  • 1970Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions347 cited
  • 1975OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966.347 cited
  • 1981Financial Theory and Corporate Policy321 cited
  • 2000A model for portfolio selection with order of expected returns187 cited
  • 2004Usefulness of artificial neural networks for early warning system of economic crisis90 cited

Cited by

  • 2017Using genetic algorithm to support clustering-based portfolio optimization by investor information70 cited
  • 2007Expert systems and evolutionary computing for financial investing: A review66 cited
  • 2017An intelligent hybrid trading system for discovering trading rules for the futures market using rough sets and genetic algorithms64 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2019An integrated framework of genetic network programming and multi-layer perceptron neural network for prediction of daily stock return: An application in Tehran stock exchange market64 cited
  • 2009A genetic network programming with learning approach for enhanced stock trading model57 cited
  • 2008Constructing investment strategy portfolios by combination genetic algorithms55 cited
  • 2008Portfolio value-at-risk forecasting with GA-based extreme value theory54 cited
  • 2009A review of credibilistic portfolio selection54 cited
  • 2018A constrained portfolio selection model at considering risk-adjusted measure by using hybrid meta-heuristic algorithms51 cited
  • 2016Developing a rule change trading system for the futures market using rough set analysis49 cited
  • 2016Incorporating Markov decision process on genetic algorithms to formulate trading strategies for stock markets49 cited
  • 2015Ensemble learning of rule-based evolutionary algorithm using multi-layer perceptron for supporting decisions in stock trading problems48 cited
  • 2011Robust optimization framework for cardinality constrained portfolio problem45 cited
  • 2009A model of portfolio optimization using time adapting genetic network programming35 cited