Investment portfolio optimization using evolutionary strategies
A successful investment will be based on two factors, securities analysis and portfolio management. Researches showed that most markets are efficient markets, which means on a well-developed securities exchange, asset prices accurately reflect the trade-off between the relative risk and potential re...
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2014
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| Online Access: | http://hdl.handle.net/10356/61571 |
| _version_ | 1811689098033758208 |
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| author | Zou, Menglin |
| author2 | Wang Lipo |
| author_facet | Wang Lipo Zou, Menglin |
| author_sort | Zou, Menglin |
| collection | NTU |
| description | A successful investment will be based on two factors, securities analysis and portfolio management. Researches showed that most markets are efficient markets, which means on a well-developed securities exchange, asset prices accurately reflect the trade-off between the relative risk and potential return associated with the security. Thus, the chance of picking an undervalued securities is relatively low and a properly constructed portfolio with optimal level of expected return and the least possible risk would be more desirable in the current context.
In this project, Evolutionary strategies (ES) is for the multi-objective optimization is used for purpose of investment portfolio optimization. The main advantage of the evolution strategy is to allow to handle simultaneously multiple objectives and constraints, and to achieve the good approximation of the complete pareto-optimal set. The simulation was carried out in the MATLAB environment. |
| first_indexed | 2024-10-01T05:42:42Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/61571 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T05:42:42Z |
| publishDate | 2014 |
| record_format | dspace |
| spelling | ntu-10356/615712023-07-07T17:49:39Z Investment portfolio optimization using evolutionary strategies Zou, Menglin Wang Lipo School of Electrical and Electronic Engineering DRNTU::Engineering::Mathematics and analysis::Simulations A successful investment will be based on two factors, securities analysis and portfolio management. Researches showed that most markets are efficient markets, which means on a well-developed securities exchange, asset prices accurately reflect the trade-off between the relative risk and potential return associated with the security. Thus, the chance of picking an undervalued securities is relatively low and a properly constructed portfolio with optimal level of expected return and the least possible risk would be more desirable in the current context. In this project, Evolutionary strategies (ES) is for the multi-objective optimization is used for purpose of investment portfolio optimization. The main advantage of the evolution strategy is to allow to handle simultaneously multiple objectives and constraints, and to achieve the good approximation of the complete pareto-optimal set. The simulation was carried out in the MATLAB environment. Bachelor of Engineering 2014-06-12T05:20:15Z 2014-06-12T05:20:15Z 2014 2014 Final Year Project (FYP) http://hdl.handle.net/10356/61571 en Nanyang Technological University 59 p. application/pdf |
| spellingShingle | DRNTU::Engineering::Mathematics and analysis::Simulations Zou, Menglin Investment portfolio optimization using evolutionary strategies |
| title | Investment portfolio optimization using evolutionary strategies |
| title_full | Investment portfolio optimization using evolutionary strategies |
| title_fullStr | Investment portfolio optimization using evolutionary strategies |
| title_full_unstemmed | Investment portfolio optimization using evolutionary strategies |
| title_short | Investment portfolio optimization using evolutionary strategies |
| title_sort | investment portfolio optimization using evolutionary strategies |
| topic | DRNTU::Engineering::Mathematics and analysis::Simulations |
| url | http://hdl.handle.net/10356/61571 |
| work_keys_str_mv | AT zoumenglin investmentportfoliooptimizationusingevolutionarystrategies |