Applying Multi objective Genetic Algorithms in Portfolio Optimization by Technical Indicators

Subject Areas : Financial engineering

Hamidreza  Mirzaei ¹ (PHD Student of Accounting, Shahid Bahonar University of Kerman)
Ahmad  Khodamipour ² (Associate Professor, Faculty of Management and Economics, Department of Accounting, Shahid Bahonar University of Kerman)
Omid  Pourheidari ³ (Professor, Faculty of Management and Economics, Department of Accounting, Shahid Bahonar University of Kerman)

Received: 2016-02-16 Accepted : 2016-05-01 Published : 2016-12-21

Keywords: genetic algorithms, technical indicators,

Abstract :

Risk-return tradeoff and its analysis in alternative investments as a classic goal of finance have been the main subject of many researches in financial management. The use of technical indicators is a portfolio management tools. This research aims to use these indicators in mining stocks trading rules. The period of investigation is from beginning of 1388 until the end of 1393 and the sample of study is including 216 companies listed in TSE. In the period from 1388 to 1390 by using technical indicators and genetic algorithm with aim for maximize return and minimize risk, we obtain a model for portfolio optimization and in the period from 1391 to 1393 this model was used in portfolio management. In order to evaluate this model, the results were compared with the market index and found that by using technical indicators can outperform the market.