Soft Computing as A Tool to Optimize an Investment Portfolio

Jan Budík, Radek Doskočil

Abstract


The paper describes the creation and application of an investment portfolio. Main aim of the paper is to perform statistical analysis of selected financial instruments and to find a connection between the input data. Authors use application Adaptrade from the Adaptrade software company which is based on genetic algorithms basis and is able to process this difficult task in real time. The case analysis is performed for three world currencies—U. S. dollar, Canadian dollar and Swiss franc. Statistical analysis was performed specifically on the currency couple USD: CAD and USD:CHF. The input data consists of time series, which records the progress of prices of the financial instruments with a period of 15 minutes continuously from Monday 00:00 to Friday 23:00 for the period 2.1.2009 – 14.3.2011. JEL classification: C61, G11. Keywords: Optimization, soft computing, Adaptrade, genetic algorithms, investment portfolio.

Keywords


Optimization; soft computing; Adaptrade; genetic algorithms; investment portfolio

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"Intellectual Economics" ISSN online 1822-8038 / ISSN print 1822-8011