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A Genetic Algorithm (GA) Approach to the Portfolio Design Based on Market Movements and Asset Valuations
16 references·1 citing·36 second hop
A Genetic Algorithm (GA) Approach to the Portfolio Design Based on Market Movements and Asset Valuations (2020)A Genetic Algorithm (GA) Approach to the …Stock price prediction based on deep neural networks (2019)Stock price prediction based …Dissecting Anomalies (2007)Dissecting AnomaliesForecasting stock market movement direction with support vector machine (2004)Forecasting stock market move…Generating trading rules on the stock markets with genetic programming (2003)Generating trading rules on t…Financial time series forecasting using support vector machines (2003)Financial time series forecas…Genetic algorithms approach to feature discretization in artificial neural networks for the prediction of stock price index (2000)Genetic algorithms approach t…Performance functions and reinforcement learning for trading systems and portfolios (1998)Performance functions and rei…The Sharpe Ratio (1994)The Sharpe RatioReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Foundations of Portfolio Theory (1991)Foundations of Portfolio Theo…Portfolio Theory and Capital Markets. (1972)Portfolio Theory and Capital …Mutual Fund Performance (1966)Mutual Fund PerformanceCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Some A Posteriori Probabilities in Stock Market Action (1937)Some A Posteriori Probabiliti…Real-Time Portfolio Management System Utilizing Machine Learning Techniques (2023)Real-Time Portfolio Managemen…Forecasting with artificial neural networks: (1998)Predicting direction of stock price index movement using artificial neural networks and support vector machines: The sample of the Istanbul Stock Exchange (2010)Predicting stock and stock price index movement using Trend Deterministic Data Preparation and machine learning techniques (2014)Stock market's price movement prediction with LSTM neural networks (2017)Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Adjustment of Stock Prices to New Information (2003)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Commissioned Paper: Capacity Management, Investment, and Hedging: Review and Recent Developments (2003)The Adaptive Markets Hypothesis (2004)The Failure of Risk Management: Why It's Broken and How to Fix It (2009)Theory of games and economic behavior (2019)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Common risk factors in the returns on stocks and bonds (1993)Asset Growth and the Cross‐Section of Stock Returns (2008)Hedging Climate Change News (2019)Firm‐Level Climate Change Exposure (2023)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)The New Institutionalism: Organizational Factors in Political Life (1983)Random matrix approach to cross correlations in financial data (2002)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1994The Sharpe Ratio2,542 cited
  • 2003Financial time series forecasting using support vector machines1,734 cited
  • 2007Dissecting Anomalies1,573 cited
  • 1972Portfolio Theory and Capital Markets.1,221 cited
  • 1991Foundations of Portfolio Theory1,129 cited
  • 2004Forecasting stock market movement direction with support vector machine1,119 cited
  • 2000Genetic algorithms approach to feature discretization in artificial neural networks for the prediction of stock price index758 cited
  • 2019Stock price prediction based on deep neural networks378 cited
  • 1998Performance functions and reinforcement learning for trading systems and portfolios292 cited
  • 1937Some A Posteriori Probabilities in Stock Market Action255 cited
  • 2003

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Generating trading rules on the stock markets with genetic programming
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