A hybrid stock trading system using genetic network programming and mean conditional value-at-risk

European Journal of Operational Research

Volumn 240, Issue 3, 2015, Pages 861-871

  Chen, Yan ^a,b   Wang, Xuancheng ^a  

^a SHANGHAI UNIVERSITY OF FINANCE AND ECONOMICS   (China)

^b BEIJING UNIVERSITY OF POSTS AND TELECOMMUNICATIONS   (China)

Author keywords

Conditional; Evolutionary computations; Investment analysis; Portfolio optimization; Risk management; Value at Risk

Indexed keywords

COMMERCE; EVOLUTIONARY ALGORITHMS; FINANCIAL DATA PROCESSING; FINANCIAL MARKETS; GENETIC PROGRAMMING; GLOBAL OPTIMIZATION; INVESTMENTS; RISK MANAGEMENT; VALUE ENGINEERING;

CONDITIONAL; CONDITIONAL VALUE-AT-RISK; GENETIC NETWORK PROGRAMMING; INVESTMENT ANALYSIS; PORTFOLIO OPTIMIZATION; STATISTICAL MODELING; STOCK TRADING SYSTEM; VALUE AT RISK;

RISK ASSESSMENT;

EID: 85027930864     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2014.07.034     Document Type: Article

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