Title page for etd-1021111-112923


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URN etd-1021111-112923
Author Chih-shiang Chen
Author's Email Address No Public.
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Department Computer Science and Engineering
Year 2011
Semester 1
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Mutual Fund Investment based on Genetic Algorithm
Date of Defense 2011-05-27
Page Count 46
Keyword
  • Genetic Algorithms
  • Mutual fund
  • Return of Investment (ROI)
  • investment strategy
  • Abstract This research proposes a decision and behavior model which tries to approximate the fund trading. The main idea is based on the principle of the publication “Genetic Algorithms for the Investment of the Mutual Fund with Global Trend Indicator”, and four optimization schemes are proposed as well. First, the calculation of GTI is refined to prevent the possible problems caused by the case that all the fund are getting rise, or the opposite. Second, the tolerance is considered to avoid the reduction of profits owing to the increase of rates for transaction which Funds, those near threshold ones, might exchange ranking too often. Third, the concept of Stop-Loss Point is involved to release the fund dynamically instead of oversell. The last, Someone like to investment more profitable with short-term data, but high-risk. Someone like to investment long-term data, therefore, we added (1-α)History + (α)Recent to make users could set by themselves. And we also design genetic algorithm to calculate α for reference.
    Under the constraints of three different coefficients of stop-loss and release, the Return of Investment (ROI) is four times than original one(8.98%), which is compared in 2007.
    Advisory Committee
  • Hsiao-kuang Wu - chair
  • Cheng-Fu Chou - co-chair
  • Min-Jen Tsai - co-chair
  • Chun-Hung Lin - advisor
  • Ying-Chih Lin - advisor
  • Files
  • etd-1021111-112923.pdf
  • Indicate in-campus at 99 year and off-campus access at 99 year.
    Date of Submission 2011-10-21

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