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ASME Press Select Proceedings

International Conference on Computer and Computer Intelligence (ICCCI 2011)

By
Yi Xie
Yi Xie
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ISBN:
9780791859926
No. of Pages:
740
Publisher:
ASME Press
Publication date:
2011

In this study, a double-stage process is proposed for portfolio selection. In the first stage, a clustering method is used to identify good quality assets in terms of 1-reliability asset classification. In the second stage, investment allocation in the selected good quality assets is optimized using a genetic algorithm based on stochastic model of portfolio selection with minimum transaction lot and it's the 1-reliability decision. Through the two-stage 1-reliability model process, an optimal portfolio can be determined. The experimental result has showed that its application in portfolio selection is reliable and useful.

Abstract
Key Words
1. Introduction
2. Stage I. Asset Classification
3. K-Means Clustering
5. 1—Reliability Portfolio Selection
6. Utilizing Genetic Algorithm
7. Experimental Result
8. Conclusion
References
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