研究生: |
邱紫怡 Tzu-i Chiu |
---|---|
論文名稱: |
使用基因演算法結合加權模糊時間序列在股票投資組合上的買賣時機策略 Stock Investment Strategy Portfolio using Genetic Algorithms and Weighted Fuzzy Time Series |
指導教授: |
呂永和
Yhug-ho Leu |
口試委員: |
楊維寧
Wei-ning Yang 葉耀明 Yao-ming Yeh |
學位類別: |
碩士 Master |
系所名稱: |
管理學院 - 資訊管理系 Department of Information Management |
論文出版年: | 2011 |
畢業學年度: | 99 |
語文別: | 中文 |
論文頁數: | 52 |
中文關鍵詞: | 基因演算法 、加權模糊時間序列 、投資組合 、交易買賣時間點 |
外文關鍵詞: | Genetic Algorithms, Weighted Fuzzy Time Series, Stock Portfolios, Selling/Buying Points |
相關次數: | 點閱:265 下載:16 |
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只要是投資就會有風險,為了降低投資風險而產生了投資組合的概念,投資組合的概念是藉由購買一籃子股票以降低投資風險。如何選擇最佳的投資組合,須考慮投資標的的選取以及資金的分配。當一旦選定了投資組合以後,買賣的時間點也很重要,尤其在股票市場中,股價常常受到不確定性的政治和經濟局勢所影響,股價起伏波動頻繁,難以掌握進場及出場的時間點,因此找出好的買賣時機,降低損失及賺取利潤,在股票投資上,也是非常重要的課題。
本研究使用基因演算法 (Genetic Algorithm)作為挑選股票及資金分配的方法。利用基因演算法每一代交配及突變的演化,找出最佳的股票投資組合;並且利用加權模糊時間序列 (Weighted Fuzzy Time Series),預測出每一候選的股票投資組合的未來價格,計算出未來可能報酬率,作為基因演算法找出最佳股票投資組合的依據。當選定好一組股票投資組合後,本研究對買賣交易擬定兩種策略:一、定期檢查 二、設定停損、停利點。以每日觀察投資報酬是否達到停損,以及定期比較投資組合報酬率找出更好的投資組合,來判定何時應作出買賣決策,經實驗發現,本方法可有效增加投資報酬率。
Investments in a financial market may incur risk. To reduce the risk in an investment, many portfolio selection methods have been introduced. By buying a set of financial assets, portfolio selection aims at maximizing the return of the investment for a given level of risk. To build an optimal portfolio, one needs to select proper assets and to decide the proportion of the investment for each selected asset. On the other hand, prices of assets vary as time goes by. As a result, the return of the portfolio is also varies with time. Thus, besides the portfolio selection, how to discover the selling and buying points of a portfolio is also a very important issue.
In this study, we develop a genetic algorithm to build optimal stock portfolios. The genetic algorithm uses an evolutionary process to find the portfolio with the highest fitness value as the optimal portfolio. In the proposed method, we use a weighted fuzzy time series to predict the return of the stock portfolio, which is then used as the fitness value of the genetic algorithm. Furthermore, we propose a stock portfolio trading model to find the selling and buying points of the stock portfolio. There are two strategies in the stock portfolio trading model: to periodically check the portfolio returns and to set a stop-loss point for the portfolio. With these two strategies we can find the best selling and buying points for the portfolios. Through experiments on the stocks in Taiwan 50, the proposed method outperforms TAIEX index and Taiwan 50 index in terms of 7-year average return.
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