A model of portfolio optimization using time adapting genetic network programming

DOI10.1016/j.cor.2009.12.003zbMath1188.90277OpenAlexW2091534623MaRDI QIDQ976029

Shingo Mabu, Yan Chen, Kotaro Hirasawa

Publication date: 11 June 2010

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2009.12.003

zbMATH Keywords

portfolio optimizationreinforcement learningcandlestick chartgenetic network programmingtechnical indices

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Financial applications of other theories (91G80) Portfolio theory (91G10)

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Cites Work

• Portfolio selection using neural networks
• Efficient implementation of an active set algorithm for large-scale portfolio selection
• Generating trading rules on the stock markets with genetic programming.
• Application of neural networks to an emerging financial market: Forecasting and trading the Taiwan Stock index.
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• Neural network-based mean-variance-skewness model for portfolio selection
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