Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA

• Main Authors: Silva, Antonio Daniel (Author), Neves, Rui Ferreira (Author), Horta, Nuno (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2016.
• Edition: 1st ed. 2016.
• Series: SpringerBriefs in Applied Sciences and Technology,
• Subjects: Engineering.; Finance.; Algorithms.; Economics, Mathematical.; Computational intelligence.; Computational Intelligence.; Algorithm Analysis and Problem Complexity.; Quantitative Finance.; Finance, general.

This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two d...