利用基因演算法結合風險評估之選股系統

本研究提出了一選股方法，基於1990年諾貝爾經濟學獎得主Harry Markowitz 與William Sharpe分別於1952年“資產選擇”理論與1964年“資本資產定價模型”理論中，提出風險值與預期報酬率評估方法，及評估單位風險超額報率之夏普指標。透過基因演算法GA(Genetic Algorithm)根據夏普值標定義設計各股票組合適應值函式進行尋解，用以選出各股票組合中，預期報酬率扣除零風險報酬率除上風險值後適應值最高的股票組合。並透過各種實驗證明本研究問題套用於GA時之最佳參數值組合，及各種選股方法之效能，藉此得到兼顧單位風險報酬率與分散風險概念之最佳選股策略。

關鍵字

基因演算法；選股；風險評估；夏普指標

並列摘要

In the study, We proposed a stock selection method, based on the theories “Portfolio Selection” and “A Theory of Market Equilibrium under Conditions of Risk” proposed in 1952 and 1964 respectively, by the Economist Nobel Prize-winner in 1990, Harry Markowitz and William F. Sharpe. We used the methods proposed how to assess the risk value, the expected rate of return and Sharpe indicator used to assess the risk of over-expected of units. Then using Genetic Algorithm(GA) to find the best solution for all stock portfolios based on the fitness function which was designed with the risk of over-expected of units based from Sharpe indicator. For finding which set of parameters is the optimal for solving the stock selection problem using GA and which method of stock portfolios is the best, we also made a lot of experiments to find the most optimal set of parameters and the best method of stock portfolio. Finally, we could get a stock portfolio which could give consideration to risk and the return of investment.

並列關鍵字

Genetic Algorithm ； GA ； Stock Portfolio ； Stock Selection ； Risk assessment ； Risk analysis ； Sharpe Indicator

參考文獻

[1]Bhattacharya, Utpal, Hazem Daouk, Brian Jorgenson, and Carl-Heinrich Kehr,“When an Event is Not an Event: The CuriousCase of an Emerging Market.”, Indian University,Carreker-Antinori, and Dresdner Bank AG, working paper, 1998.

Google Scholar

[2]Achour, Dana, Campbell R. Harvey, Greg Hopkins, and Clive Lang,“Stock Selection in Emerging Markets: Portfolio Strategies for Malaysia, Mexico, and South Africa.”, Emerging Market Quarterly, 2, 1998, pp.38-91.