Evolutionary Strategies for Building Risk-Optimal Portfolios

Abstract

Summary. This chapter describes an evolutionary approach to portfolio optimization. It rejects some assumptions from classic models, introduces alternative risk measures and proposes three evolutionary algorithms to solve the optimization problem. In order to validate the approach proposed, results of a number of experiments using data from the Paris Stock Exchange are presented.

Synthesis and Properties of “Black Silicon” Formed by Pd-Catalyst Etching in NH4HF2/H2O2Solution

“…SiF 4 + 2HF → H 2 SiF 6 [11] One can expect the essentially same reactions as in Eqs. 10 and 11 to occur in NH 4 HF 2 /H 2 O 2 solutions.…”

“…12b have also been produced using the Pd-catalyst etching technique by several authors. [9][10][11][12][13][14] We also measured the optical transmittance and PL spectra of the Pd-etched Si sample in the HF/H 2 O 2 solution (Fig. 12b) and found to show almost the same spectra as those for the porous columnar samples formed in the NH 4 HF 2 /H 2 O 2 solutions [Fig.…”

“…8 However, a few studies were performed on chemical etching of Si wafers using Pd as the catalyst. [9][10][11][12][13][14] These studies reported a formation of the porous layers, which had morphologies the same as those popularly formed by anodic etching, stain etching, or photoetching (Ref. 15).…”

Natural Computing in Finance – A Review

“…More generally, a portfolio manager may be concerned with more than one risk constraint. A variety of papers have applied MOEA to non-Markowitz risk metrics, including [73] which uses a compound risk metric. Hochreiter [53] introduces an evolutionary stochastic portfolio optimisation methodology and illustrates its application using a set of structurally different risk measures, which include, Standard Deviation, Mean-absolute Downside Semi Deviation, Valueat-Risk, and Expected Shortfall.…”

Usage Patterns of Trading Rules in Stock Market Trading Strategies Optimized with Evolutionary Methods

“…Evolutionary computing is often applied to various economic and financial problems [1,7,16] such as optimization of investment portfolios [3,13,15,18] and supporting financial decision making [9,12,22]. Training of trading experts based on sets of trading rules is an important task with practical applications in stock market trading [6,10,11].…”