PORTFOLIO SELECTION AND MANAGEMENT USING A HYBRID INTELLIGENT AND STATISTICAL SYSTEM

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This paper presents the development of a hybrid system based on Genetic Algorithms, Neural Networks and the GARCH model for the selection of stocks and the management of investment portfolios. The hybrid system comprises four modules: a genetic algorithm for selecting the assets that will form the i...

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Detalles Bibliográficos
Autor: Lazo Lazo y Cols., Juan G.
Formato: artículo
Fecha de Publicación:2019
Institución:Centro de Preparación para la Ciencia y Tecnología
Repositorio:ECIPERÚ
Lenguaje:español
OAI Identifier:oai:revistas.eciperu.net:article/141
Enlace del recurso:https://revistas.eciperu.net/index.php/ECIPERU/article/view/141
Nivel de acceso:acceso abierto
Materia:Genetic Algorithms, Neural Networks, GARCH, VaR, Volatility.
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spelling PORTFOLIO SELECTION AND MANAGEMENT USING A HYBRID INTELLIGENT AND STATISTICAL SYSTEMLazo Lazo y Cols., Juan G.Genetic Algorithms, Neural Networks, GARCH, VaR, Volatility.Genetic Algorithms, Neural Networks, GARCH, VaR, Volatility.This paper presents the development of a hybrid system based on Genetic Algorithms, Neural Networks and the GARCH model for the selection of stocks and the management of investment portfolios. The hybrid system comprises four modules: a genetic algorithm for selecting the assets that will form the investment portfolio, the GARCH model for forecasting stock volatility, a neural network for predicting asset returns for the portfolio, and another genetic algorithm for determining the optimal weights for each asset. Portfolio management has consisted of weekly updates over a period of 49 weeks.This paper presents the development of a hybrid system based on Genetic Algorithms, Neural Networks and the GARCH model for the selection of stocks and the management of investment portfolios. The hybrid system comprises four modules: a genetic algorithm for selecting the assets that will form the investment portfolio, the GARCH model for forecasting stock volatility, a neural network for predicting asset returns for the portfolio, and another genetic algorithm for determining the optimal weights for each asset. Portfolio management has consisted of weekly updates over a period of 49 weeks.Centro de Preparación para la Ciencia y Tecnología (Ceprecyt)2019-01-04info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://revistas.eciperu.net/index.php/ECIPERU/article/view/14110.33017/RevECIPeru2004.0010/Revista ECIPerú; Vol. 1 Núm. 1 (2004); 101813-0194reponame:ECIPERÚinstname:Centro de Preparación para la Ciencia y Tecnologíainstacron:CEPRECYTspahttps://revistas.eciperu.net/index.php/ECIPERU/article/view/141/134Derechos de autor 2004 Revista ECIPerúinfo:eu-repo/semantics/openAccessoai:revistas.eciperu.net:article/1412019-01-08T17:22:35Z
dc.title.none.fl_str_mv PORTFOLIO SELECTION AND MANAGEMENT USING A HYBRID INTELLIGENT AND STATISTICAL SYSTEM
title PORTFOLIO SELECTION AND MANAGEMENT USING A HYBRID INTELLIGENT AND STATISTICAL SYSTEM
spellingShingle PORTFOLIO SELECTION AND MANAGEMENT USING A HYBRID INTELLIGENT AND STATISTICAL SYSTEM
Lazo Lazo y Cols., Juan G.
Genetic Algorithms, Neural Networks, GARCH, VaR, Volatility.
Genetic Algorithms, Neural Networks, GARCH, VaR, Volatility.
title_short PORTFOLIO SELECTION AND MANAGEMENT USING A HYBRID INTELLIGENT AND STATISTICAL SYSTEM
title_full PORTFOLIO SELECTION AND MANAGEMENT USING A HYBRID INTELLIGENT AND STATISTICAL SYSTEM
title_fullStr PORTFOLIO SELECTION AND MANAGEMENT USING A HYBRID INTELLIGENT AND STATISTICAL SYSTEM
title_full_unstemmed PORTFOLIO SELECTION AND MANAGEMENT USING A HYBRID INTELLIGENT AND STATISTICAL SYSTEM
title_sort PORTFOLIO SELECTION AND MANAGEMENT USING A HYBRID INTELLIGENT AND STATISTICAL SYSTEM
dc.creator.none.fl_str_mv Lazo Lazo y Cols., Juan G.
author Lazo Lazo y Cols., Juan G.
author_facet Lazo Lazo y Cols., Juan G.
author_role author
dc.subject.none.fl_str_mv Genetic Algorithms, Neural Networks, GARCH, VaR, Volatility.
Genetic Algorithms, Neural Networks, GARCH, VaR, Volatility.
topic Genetic Algorithms, Neural Networks, GARCH, VaR, Volatility.
Genetic Algorithms, Neural Networks, GARCH, VaR, Volatility.
description This paper presents the development of a hybrid system based on Genetic Algorithms, Neural Networks and the GARCH model for the selection of stocks and the management of investment portfolios. The hybrid system comprises four modules: a genetic algorithm for selecting the assets that will form the investment portfolio, the GARCH model for forecasting stock volatility, a neural network for predicting asset returns for the portfolio, and another genetic algorithm for determining the optimal weights for each asset. Portfolio management has consisted of weekly updates over a period of 49 weeks.
publishDate 2019
dc.date.none.fl_str_mv 2019-01-04
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://revistas.eciperu.net/index.php/ECIPERU/article/view/141
10.33017/RevECIPeru2004.0010/
url https://revistas.eciperu.net/index.php/ECIPERU/article/view/141
identifier_str_mv 10.33017/RevECIPeru2004.0010/
dc.language.none.fl_str_mv spa
language spa
dc.relation.none.fl_str_mv https://revistas.eciperu.net/index.php/ECIPERU/article/view/141/134
dc.rights.none.fl_str_mv Derechos de autor 2004 Revista ECIPerú
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Derechos de autor 2004 Revista ECIPerú
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Centro de Preparación para la Ciencia y Tecnología (Ceprecyt)
publisher.none.fl_str_mv Centro de Preparación para la Ciencia y Tecnología (Ceprecyt)
dc.source.none.fl_str_mv Revista ECIPerú; Vol. 1 Núm. 1 (2004); 10
1813-0194
reponame:ECIPERÚ
instname:Centro de Preparación para la Ciencia y Tecnología
instacron:CEPRECYT
instname_str Centro de Preparación para la Ciencia y Tecnología
instacron_str CEPRECYT
institution CEPRECYT
reponame_str ECIPERÚ
collection ECIPERÚ
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 13.350691
PORTFOLIO SELECTION AND MANAGEMENT USING A HYBRID INTELLIGENT AND STATISTICAL SYSTEM
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