A memetic algorithm for portfolio mining

• Main Author: Duan, Van Khanh.
• Other Authors: Lim Meng Hiot
• Format: Final Year Project
• Language: English
• Published: 2009
• Subjects: DRNTU::Engineering::Electrical and electronic engineering::Computer hardware, software and systems
• Online Access: http://hdl.handle.net/10356/18911
• Institution: Nanyang Technological University

Due to economic crisis, some hedge funds and investment banks face the prospect of bankruptcy, including those that are well managed. This brings about the idea of portfolio management, an area extensively discussed in the journals and economic papers. In this project, we focus on using genetic/ memetic algorithm and Markowitz’s theory of modern portfolio to help investors manage their portfolio effectively. In short, genetic/ memetic algorithm is a search technique used in computing to find approximate solutions to optimization and search problems. This project also research about game to measure level of risk aversion of investors by providing a virtual market trading platform which is relatively new in the field of finance.