Dynamic Portfolio Optimization in Ultra-High Frequency Environment

Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 10199)

Abstract

This paper concerns the problem of portfolio optimization in the context of ultra-high frequency environment with dynamic and frequent changes in statistics of financial assets. It aims at providing Pareto fronts of optimal portfolios and updating them when estimated return rates or risks of financial assets change. The problem is defined in terms of dynamic optimization and solved online with a proposed evolutionary algorithm. Experiments concern ultra-high frequency time series coming from the London Stock Exchange Rebuilt Order Book database and the FTSE100 index.

Keywords

Portfolio optimization Dynamic optimization problems Multi-objective optimization Evolutionary algorithms Ultra-high frequency time series 

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Copyright information

© Springer International Publishing AG 2017

Authors and Affiliations

  1. 1.Computational Intelligence Research Group, Institute of Computer ScienceUniversity of WroclawWroclawPoland

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