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    Application of Artificial Intelligence Approach To Portfolio Selection and Management - 2008

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    Application of Artificial Intelligence Approach To Portfolio Selection and Management - 2008

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    tatioliveira01
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    Application of Artificial Intelligence Approach to Portfolio Selection and Management - 2008

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    Application of Artificial Intelligence Approach To Portfolio Selection and Management - 2008

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    tatioliveira01

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    Lecture Notes in Management Science (2008) 177-86 Proosedng ofthe Lt nertnal Conference on Applied Operational Research {© 2008 Tabi ste for Optional Reszarch,Sssems Design abd Finacial Serves Application of Artificial Intelligence Approach to Portfolio Selection and Management Vesna Bogojevie Atsic Faculty of organizational sciences, University of Belgrade 154 Jove lca, 11000 Belgrade, Serbia eee Abstract. This paper is tying to explain the portfolio selection and management problem 88a oe of the most important peoblem in fnanee. Modem portfolio thoory and Markowitz efficient frontier start with a set of assets (securities) and generate an optimal weight combination forthe optimal risky portfolio that les on the efficient fone. The frst step isto identify hich assets (Securities) should be selected from a pool of available asses. The second step isto predict the expected returns for a better llsation ofthe Markowitz Efficient Frontier. Artificial Inlligence (AI) techniques are widely used in various flelds ‘of finane, which motivated the use ofthese techniques to find a quantitative and ssstematic method to construct an optimal portfolio. The Genetic Algoritims Technique (GAs) is one ‘of the A techniques being successfully used to solve compl optimisation problems. GAS are deployed in his research to sleet the optimal portal hased on maximising a composite ‘objective function that maximises retum, minimises risk and minimises cross

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