Artificial Intelligence Based Method for Portfolio Selection

Daniel Gonzalez Cortes, Aida Jenny Cortes Jofre, Lilian San Martin

Resultados de investigaciones: Conference contribution

Resumen

The construction of an investment portfolio with tradable assets is one of the most studied problems in Finance and is done correctly through an optimal asset allocation. This research attempts to construct an efficient portfolio using an artificial intelligence approach using Particle Swarm Optimization (PSO) technique and the use of the genetic algorithm (GA) to find the best parameters setting for the PSO model. Historical price quotes for companies listed in the Dow Jones Industrial Average (DJIA) at different times frames were used to build a portfolio with the best Sharpe Ratio (SR) by maximizing the rate of return and minimizing risk.

Idioma originalEnglish
Título de la publicación alojada2018 Congreso Internacional de Innovacion y Tendencias en Ingenieria, CONIITI 2018 - Proceedings
EditoresCarlos Andres Lozano-Garzon
EditorialInstitute of Electrical and Electronics Engineers Inc.
ISBN (electrónico)9781538681312
DOI
Estado de la publicaciónPublished - 21 dic 2018
Publicado externamente
Evento4th Innovation and Trends in Engineering Congress, CONIITI 2018 - Bogota, Colombia
Duración: 3 oct 20185 oct 2018

Serie de publicaciones

Nombre2018 Congreso Internacional de Innovacion y Tendencias en Ingenieria, CONIITI 2018 - Proceedings

Conference

Conference4th Innovation and Trends in Engineering Congress, CONIITI 2018
PaísColombia
CiudadBogota
Periodo3/10/185/10/18

    Huella digital

ASJC Scopus subject areas

  • Safety, Risk, Reliability and Quality
  • Education
  • Artificial Intelligence
  • Computer Networks and Communications
  • Information Systems and Management
  • Civil and Structural Engineering
  • Control and Systems Engineering

Citar esto

Cortes, D. G., Cortes Jofre, A. J., & Martin, L. S. (2018). Artificial Intelligence Based Method for Portfolio Selection. En C. A. Lozano-Garzon (Ed.), 2018 Congreso Internacional de Innovacion y Tendencias en Ingenieria, CONIITI 2018 - Proceedings [8587104] (2018 Congreso Internacional de Innovacion y Tendencias en Ingenieria, CONIITI 2018 - Proceedings). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/CONIITI.2018.8587104