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

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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.

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Additional Information

Online ISSN: 1872-6291

Item type Article
URI https://vuir.vu.edu.au/id/eprint/7485
DOI https://doi.org/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)
Current > 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 45 - View on Scopus
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