[PDF] Top 20 Stock Portfolio Optimization Using Water Cycle Algorithm (Comparative Approach)

... proposed algorithm had an excellent performance compared to other optimization algorithms including GA, DE, PSO, and ...bare-bones Water Cycle Algorithm (NGBWCA) for optimal reactive ... See full document

... The optimization model (3)-(7) is a complex combinatorial problem, which is difficult to solve with analytical ...genetic algorithm for index ...and portfolio optimization can be found in the ... See full document

... As a result, the Tobit model is mixture between (c.d.f) and (p.d.f) for normal distribution. In this study, the response variable is affected by a set of independent variables. After testing the model, the results show ... See full document

... created using ANN which has been trained using GA, DE, and WCA for exchange price prediction for the time horizon of three days, seven days, and fifteen ...tested using sample test ... See full document

... In this paper the water cycle algorithm (WCA) is utilized for sizing optimization of space trusses. Finding the optimum design of 3-D structures is a difficult task as the great number of ... See full document

... Linear programming is an important branch of operational research, which has been studied earlier, developed rapidly, used widely and matured. It is a mathe- matical method to assist people in scientific management. In ... See full document

... Conventional portfolio optimization models have an as-assumption that the future condition of stock market can be accurately predicted by historical ... See full document

... new optimization approach, known as the water cycle algorithm (WCA), has been used for attribute reduction and the rough set theory is employed as a mathematical tool to assess quality of ... See full document

... Let be a helm graph with w as the apex vertex and , , , . . . be the pendant vertices and , , , . . . be the vertices of cycle. Let denote the graph obtained by switching of a pendant vertex of = . Here p = 2n + 1 ... See full document

... locality optimization and can’t find global optimization based on complicated and multi-dimensions issues and/or issues which have distortion, distinctness, noise, and disturbance of information ... See full document

... Genetic algorithm has been successfully applied to different portfolio ...optimal portfolio. The GA was used to find the weights of a portfolio stocks that minimize a certain level of risk for ... See full document

... time. Optimization problem and determining the efficiency bounder can be solved by mathematical solutions when the total numbers of assets and existent restraints in market are ...share optimization problem ... See full document

... WCO Algorithm [16] is a meta-heuristics algorithm which is inspired from water cycle in ...new algorithm using water cycle in ...falling water drops motion ... See full document

... two-asset portfolio which yielded 45 portfolio combinations and it was revealed that the combination of GCB and CAL yielded the highest Sharpe ratio of ...the portfolio which compensates best for the ... See full document

... particular stock in the recent past [1] but in the present study conventional approach coupled with a data- driven approach is followed, in which each of the previous four weeks growth is taken as an important ... See full document

... Portfolio optimization involves the optimal assignment of limited capital to dif- ferent available financial assets to achieve a reasonable trade-off between profit and risk ...variance portfolio ... See full document

... colony algorithm (ABC), proposed by Karaboga, is recently introduced optimization algorithm which simulates the foraging behavior of a honey bee ...ABC algorithm, the swarm population consists ... See full document

... Graphical examples of two stocks BLT1T and KNF1L Bollinger bands and additional indices are given in Appendices A–C. Charts are formed using three different sets of parameters (see next section). Additional ... See full document

... in stock market prediction is understanding where to look in a financial instrument’s time series ...the stock market as well as researchers in the field of machine learning with application in the capital ... See full document

... A) Every COPD patient is characterized by the distribution in the changing conditions of A-B-C-D categories. Each condition should be treated with optimal care including drugs [r] ... See full document