Abstract. Investment portfolio construction is always a popular issue for the investors. In this paper, we utilize Investment Satisfied Capability Index (ISCI) to sieve out the potential candidate stocks and then use Evolved Bat Algorithm (EBA) to construct the portfolio for stock investment. Three years historical daily Return on Investment (ROI) data from 2008 to 2010 is included in the experiment in order to test and verify the performance of the constructed stock portfolio by EBA. The experimental result is compared with the investment results from Taiwan broader market and Taiwan Top 50 Tracker Fund of Taiwan Yuanta Securities. The experimental result indicates that our proposed approach provides an efficient portfolio for the stock investment.
In recent years, lots of portfolio analysis methods been proposed one after another. The investors care about how much money they can earn, and the companies need to know how much performance they gain. In this paper, a new stock portfolio construction strategy using Investment
Satisfied Capability Index (ISCI) and Interactive Artificial Bee Colony (IABC) is proposed. Two-year daily Return on Investment (ROI) data is used inthe experiment to test the performance of our proposed method. The experimental results are compared with the investment result from Taiwan broader market and Taiwan Top 50 Tracker Fund of Taiwan Yuanta Securities. The results are positive.
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