An integrated portfolio optimisation procedure based on data envelopment analysis,artificial bee colony algorithm and genetic programming |
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Authors: | Chih-Ming Hsu |
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Affiliation: | Department of Business Administration, Minghsin University of Science and Technology, Hsinchu, Taiwan, ROC |
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Abstract: | Portfolio optimisation is an important issue in the field of investment/financial decision-making and has received considerable attention from both researchers and practitioners. However, besides portfolio optimisation, a complete investment procedure should also include the selection of profitable investment targets and determine the optimal timing for buying/selling the investment targets. In this study, an integrated procedure using data envelopment analysis (DEA), artificial bee colony (ABC) and genetic programming (GP) is proposed to resolve a portfolio optimisation problem. The proposed procedure is evaluated through a case study on investing in stocks in the semiconductor sub-section of the Taiwan stock market for 4 years. The potential average 6-month return on investment of 9.31% from 1 November 2007 to 31 October 2011 indicates that the proposed procedure can be considered a feasible and effective tool for making outstanding investment plans, and thus making profits in the Taiwan stock market. Moreover, it is a strategy that can help investors to make profits even when the overall stock market suffers a loss. |
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Keywords: | portfolio optimisation data envelopment analysis artificial bee colony genetic programming |
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