A Genetic Algorithm For Investment Tracking With Stochastic Model Predictive Control

Melo, Maísa Kely de; Cardoso, Rodrigo T. N.; Jesus, Tales Argolo

doi:10.1109/cec45853.2021.9504714

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2023

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“…A genetic algorithm was utilized to track the investment. The portfolio will move in which direction was studied [15]. A Jordan Elman network with a genetic algorithm was used for portfolio selection.…”

Section: Literature Reviewmentioning

confidence: 99%

Real-Time Portfolio Management System Utilizing Machine Learning Techniques

et al. 2023

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There are 1641 companies listed on the National Stock Exchange of India. It is undoubtedly infeasible for a retail investor to invest in all the stocks. It is a well-known fact that the portfolio's return is an average return of all its constituent stocks, and risk will be less than or equal to the maximum risk of all the portfolio components. This paper is unique as it elaborates on the entire portfolio selection, optimization, and management process. Portfolio selection is accomplished through the K-Means algorithm. Optimization is achieved utilizing the genetic algorithm, and a sliding window is applied for portfolio management. Four different ways of portfolio calculation, namely, equally-weighted portfolio, global minimum variance portfolio, market cap-weighted portfolio, and maximum Sharpe ratio portfolio, are applied. The results depict that all three optimized portfolios outperform the Nifty index. The dataset for the study is obtained from globaldatafeeds.in.

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Section: Literature Reviewmentioning

confidence: 99%