Using investment satisfaction capability index based particle swarm optimization to construct a stock portfolio

Download

Full text for this resource is not available from the Research Repository.

Export

Chang, Jui-Fang and Shi, Peng (2010) Using investment satisfaction capability index based particle swarm optimization to construct a stock portfolio. Information Sciences, 181 (14). pp. 2989-2999. ISSN 0020-0255

Abstract

The goal of this study is to construct an enhanced process based on the investment satisfied capability index (ISCI). The process is divided into two stages. The first stage is to apply the Process Capability Indices (PCI) for quality management so as to develop a new performance appreciation method. Investors can utilize the ISCI index to rapidly evaluate individual stock performance and then select those stocks which can lead to achieve investment satisfaction. In the second stage, a particle swarm optimization (PSO) algorithm with moving interval windows is applied to find the optimal investment allocation of the stocks in this portfolio. Based on those algorithms we can ensure investment risk control and obtain a more profitable stock investment portfolio.

Dimensions Badge

Altmetric Badge

Additional Information	Online ISSN: 1872-6291
Item type	Article
URI	https://vuir.vu.edu.au/id/eprint/7485
DOI	10.1016/j.ins.2010.05.008
Official URL	http://www.sciencedirect.com/science/article/pii/S...
Subjects	Historical > Faculty/School/Research Centre/Department > Institute for Logistics and Supply Chain Management (ILSCM) Historical > FOR Classification > 0802 Computation Theory and Mathematics Historical > SEO Classification > 970108 Expanding Knowledge in the Information and Computing Sciences
Keywords	ResPubID20009. artificial intelligence, particle swarm, algorithms, investment satisfaction capability index, particle swarm optimization, optimisation, process capability indices, performance appreciation method, ISCI, PCI, PSO, PCI, quality management
Citations in Scopus	51 - View on Scopus
Download/View statistics	View download statistics for this item