A hybrid approach to portfolio composition based on fundamental and technical indicators

作者：

Highlights：

• This work proposes a multi-objective GA to efficiently manage a stock portfolio.

• Two objectives the return and the risk (variance of returns) are used to optimize the models.

• To select the best companies the algorithm uses fundamental financial ratios.

• To find the best entry point the algorithm uses technical indicators.

• The results found outperform the main indexes with lower volatility.

摘要

•This work proposes a multi-objective GA to efficiently manage a stock portfolio.•Two objectives the return and the risk (variance of returns) are used to optimize the models.•To select the best companies the algorithm uses fundamental financial ratios.•To find the best entry point the algorithm uses technical indicators.•The results found outperform the main indexes with lower volatility.

论文关键词：Evolutionary Algorithms,Fundamental analysis,Technical analysis,Stock investments

论文评审过程：Available online 5 October 2014.

论文官网地址：https://doi.org/10.1016/j.eswa.2014.09.050