A hybrid stock trading system using genetic network programming and mean conditional value-at-risk

doi:10.1016/j.ejor.2014.07.034

CORC > 上海财经大学 > 上海财经大学

	A hybrid stock trading system using genetic network programming and mean conditional value-at-risk
	Chen, Yan 1,2; Wang, Xuancheng 1
刊名	EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
	2015-02
卷号	240 期号:3 页码:861-871
关键词	Evolutionary computations Investment analysis Risk management Conditional Value-at-Risk Portfolio optimization
ISSN号	0377-2217
DOI	10.1016/j.ejor.2014.07.034
英文摘要	This paper describes a hybrid stock trading system based on Genetic Network Programming (GNP) and Mean Conditional Value-at-Risk Model (GNP-CVaR). The proposed method, combining the advantages of evolutionary algorithms and statistical model, has provided useful tools to construct portfolios and generate effective stock trading strategies for investors with different risk-attitudes. Simulation results on five stock indices show that model based on GNP and maximum Sharpe Ratio portfolio performs the best in bull market, and that based on GNP and the global minimum risk portfolio performs the best in bear market. The portfolios constructed by Markowitz's mean-variance model performs the same as mean-CVaR model. It is clarified that the proposed system significantly improves the function and efficiency of original GNP, which can help investors make profitable decisions. (C) 2014 Elsevier B.V. All rights reserved.
WOS研究方向	Business & Economics ; Operations Research & Management Science
语种	英语
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000343639300023
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1602]
专题	上海财经大学
通讯作者	Chen, Yan
作者单位	1.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China; 2.Minist Educ, Key Lab Math Econ SUFE, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Chen, Yan,Wang, Xuancheng. A hybrid stock trading system using genetic network programming and mean conditional value-at-risk[J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,2015,240(3):861-871.
APA	Chen, Yan,&Wang, Xuancheng.(2015).A hybrid stock trading system using genetic network programming and mean conditional value-at-risk.EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,240(3),861-871.
MLA	Chen, Yan,et al."A hybrid stock trading system using genetic network programming and mean conditional value-at-risk".EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 240.3(2015):861-871.