- author = "Hung-Hsin Chen",
- title = "Genetic Programming for the Investment of the Mutual Fund with Sortino Ratio and Mean Variance Model",
- school = "Computer Science and Engineering, National Sun Yat-sen University",
- year = "2010",
- address = "Kaohsiung, Taiwan",
- month = jul,
- keywords = "genetic algorithms, genetic programming, trading strategy, return, Sortino ratio, risk",
-
URL = "
http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search-c/view_etd?URN=etd-0824110-122030",
-
URL = "
http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search-c/getfile?URN=etd-0824110-122030&filename=etd-0824110-122030.pdf",
- size = "142 pages",
-
abstract = "In this thesis, we propose two
genetic-programming-based models that improve the
trading strategies for mutual funds. These two models
can help investors get returns and reduce risks. The
first model increases the return by selecting funds
with high Sortino ratios and allocates the capital
equally, achieving the best annualized return. The
second model also selects funds with high Sortino
ratios, but reduces the risk by allocating the capital
with the mean variance model.
Most importantly, our model uses the genetic programming to generate feasible trading strategies to gain return, which is suitable for the market that changes anytime. To verify our models, we simulate the investment for mutual funds from January 1999 to December 2009 (11 years in total). The experimental results show that our first model can gain return from 2004/1/1 to 2008/12/31, achieving the best annualized return 9.11%, which is better than the annualized return 6.89% of previous approaches. In addition, our second model with smaller downside volatility can achieve almost the same return as previous results.",
- notes = "In english",
