Using genetic algorithm to support clustering-based portfolio optimization by investor information

Donghyun Cheong, Young Min Kim, Hyun Woo Byun, Kyong Joo Oh, Tae Yoon Kim

Research output: Contribution to journalArticlepeer-review

14 Citations (Scopus)

Abstract

A clustering-based portfolio optimization scheme that employs a genetic algorithm (GA) based on investor information for active portfolio management is presented. Whereas numerous studies have investigated trading behaviors, investor performance, and portfolio investment strategies, few works have developed investment strategies based on investor information. This study is conducted in two phases. First, a basket of portfolio (i.e., a collection of stocks held in individual portfolios) is developed through a cluster analysis of investor information. A GA is then employed to optimize the weights of the selected stocks. And the optimized portfolio is rebalanced to get excess return. It is concluded that the proposed multistage portfolio optimization scheme for active portfolio management generates superior results than previously proposed methods for the Korean stock market.

Original languageEnglish
Pages (from-to)593-602
Number of pages10
JournalApplied Soft Computing Journal
Volume61
DOIs
Publication statusPublished - 2017 Dec

Bibliographical note

Funding Information:
This research was supported by Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Science, ICT & Future Planning ( NRF-2014R1A2A1A11052670 ).

All Science Journal Classification (ASJC) codes

  • Software

Fingerprint Dive into the research topics of 'Using genetic algorithm to support clustering-based portfolio optimization by investor information'. Together they form a unique fingerprint.

Cite this