Learning to optimize profits beats predicting returns -: comparing techniques for financial portfolio optimisation

@inproceedings{Yan2008LearningTO,
  title={Learning to optimize profits beats predicting returns -: comparing techniques for financial portfolio optimisation},
  author={Wei Yan and Martin Victor Sewell and Christopher D. Clack},
  booktitle={GECCO},
  year={2008}
}
Stock selection for hedge fund portfolios is a challenging problem that has previously been tackled by many machine-learning, genetic and evolutionary systems, including both Genetic Programming (GP) and Support Vector Machines (SVM). But which is the better? We provide a head-to-head evaluation of GP and SVM applied to this real-world problem, including both a standard comparison of returns on investment and a comparison of both techniques when extended with a "voting" mechanism designed to… CONTINUE READING
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The Sharpe Ratio

  • W. F. Sharpe
  • J. Portfolio Management, 21:49–58,
  • 1994
Highly Influential
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