Investment portfolio optimization using evolutionary strategies
This report presents the implementation of applying evolutionary strategy to find a set of optimized portfolios. With the capability of handling multiple objectives and constraints simultaneously, evolutionary strategy is an efficient algorithm in finding the weighted combinations of assets with max...
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| Format: | Final Year Project (FYP) |
| Language: | English |
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2015
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| Online Access: | http://hdl.handle.net/10356/63781 |
| _version_ | 1811687696542728192 |
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| author | Gao, Yuan |
| author2 | Wang Lipo |
| author_facet | Wang Lipo Gao, Yuan |
| author_sort | Gao, Yuan |
| collection | NTU |
| description | This report presents the implementation of applying evolutionary strategy to find a set of optimized portfolios. With the capability of handling multiple objectives and constraints simultaneously, evolutionary strategy is an efficient algorithm in finding the weighted combinations of assets with maximal return at certain level of risk or equivalently minimal risk without compromising the return. In the project, the algorithm is implemented with MATLAB scripts. And the financial data analysis is done in Excel for comparison. The complete MATLAB program is tested on 30 selected stocks from Yahoo Finance over a period of 64 days. The MATLAB program is tested in different cases and the return of optimized portfolios in the output is compared with the initial portfolio, the efficient frontier and Dow Jones Industrial Average with Buy-and-Hold strategy. |
| first_indexed | 2024-10-01T05:20:25Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/63781 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T05:20:25Z |
| publishDate | 2015 |
| record_format | dspace |
| spelling | ntu-10356/637812023-07-07T16:18:33Z Investment portfolio optimization using evolutionary strategies Gao, Yuan Wang Lipo School of Electrical and Electronic Engineering DRNTU::Engineering::Electrical and electronic engineering This report presents the implementation of applying evolutionary strategy to find a set of optimized portfolios. With the capability of handling multiple objectives and constraints simultaneously, evolutionary strategy is an efficient algorithm in finding the weighted combinations of assets with maximal return at certain level of risk or equivalently minimal risk without compromising the return. In the project, the algorithm is implemented with MATLAB scripts. And the financial data analysis is done in Excel for comparison. The complete MATLAB program is tested on 30 selected stocks from Yahoo Finance over a period of 64 days. The MATLAB program is tested in different cases and the return of optimized portfolios in the output is compared with the initial portfolio, the efficient frontier and Dow Jones Industrial Average with Buy-and-Hold strategy. Bachelor of Engineering 2015-05-19T02:56:06Z 2015-05-19T02:56:06Z 2015 2015 Final Year Project (FYP) http://hdl.handle.net/10356/63781 en Nanyang Technological University 86 p. application/pdf |
| spellingShingle | DRNTU::Engineering::Electrical and electronic engineering Gao, Yuan 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::Electrical and electronic engineering |
| url | http://hdl.handle.net/10356/63781 |
| work_keys_str_mv | AT gaoyuan investmentportfoliooptimizationusingevolutionarystrategies |