Detail publikace

Soft computing as a tool to optimize an investment portfolio

BUDÍK, J. DOSKOČIL, R.

Originální název

Soft computing as a tool to optimize an investment portfolio

Typ

článek v časopise - ostatní, Jost

Jazyk

angličtina

Originální abstrakt

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.

Klíčová slova

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

Autoři

BUDÍK, J.; DOSKOČIL, R.

Rok RIV

2011

Vydáno

7. 10. 2011

Nakladatel

Mykolas Romeris University

Místo

Vilnius, Litva

ISSN

1822-8011

Periodikum

Intellectual Economics

Ročník

5

Číslo

3

Stát

Litevská republika

Strany od

359

Strany do

370

Strany počet

11

BibTex

@article{BUT74962,
  author="Jan {Budík} and Radek {Doskočil}",
  title="Soft computing as a tool to optimize an investment portfolio",
  journal="Intellectual Economics",
  year="2011",
  volume="5",
  number="3",
  pages="359--370",
  issn="1822-8011"
}