This document discusses using fuzzy logic and genetic algorithms to optimize investment portfolio selection. It begins with an overview of traditional portfolio management approaches and their limitations. It then introduces using fuzzy logic to better represent uncertain information from financial markets. Trapezoidal fuzzy numbers are proposed to model variables like expected asset returns. Genetic algorithms are described as an optimization tool inspired by natural selection, and their application to the portfolio selection problem is discussed. The selection process would use fuzzy logic to rank investments based on financial indicators. The genetic algorithm would then operate on a population of portfolio solutions to maximize expected returns based on the fuzzy representations of the variables.
This document discusses portfolio analysis and security analysis. It defines portfolio analysis as determining the future risk and return of holding various combinations of individual securities. Portfolio analysis involves diversifying investments across different assets, industries, and companies to reduce non-systematic risk. The document contrasts traditional portfolio analysis, which focuses on lowest risk securities, with modern portfolio theory, which emphasizes combining high and low risk securities to maximize returns at a given level of risk. Key aspects of portfolio analysis include calculating expected returns, variance, and the standard deviation and beta of a portfolio to measure risk. Diversification is presented as an important tool to reduce unsystematic risk.
1. Portfolio management is a process of optimizing investment funds through activities like security analysis, portfolio construction, selection, revision and evaluation.
2. It involves choosing securities to create portfolios that balance risk and expected return. The optimal portfolio lies on the efficient frontier which shows maximum return for each risk level.
3. Risk is measured by variability of returns. The CAPM model relates expected return and systematic risk measured by beta for efficient portfolios on the SML and all securities.
Modern portfolio concepts ppt @ bec domsBabasab Patil
This document discusses modern portfolio concepts including portfolio objectives, return and risk measures, diversification through correlation, international diversification, components of risk, beta as a risk measure, the capital asset pricing model, and traditional versus modern approaches to portfolio construction. Key concepts covered include the efficient frontier, portfolio betas, and reconciling risk-return tradeoffs. Tables and figures are included to illustrate concepts such as correlation, efficient portfolios, security market lines, and portfolio risk-return relationships.
This document discusses portfolio analysis and selection based on modern portfolio theory. It defines key terms like portfolio, phases of portfolio selection, the Markowitz model, efficient frontier, diversification and the optimum portfolio. The Markowitz model uses a mean-variance framework to identify efficient portfolios that maximize return for a given level of risk. An optimum portfolio provides the highest expected return for its risk level by balancing risk across different asset classes through diversification.
The document discusses various methods for valuing companies and estimating required returns. It covers sum-of-the-parts valuation, conglomerate discounts, characteristics of good valuation models, different return concepts such as holding period return and required returns, methods to estimate required returns including CAPM and multifactor models, and discount rates. It also discusses Porter's five forces framework and factors that influence industry competition and profitability.
The document discusses portfolio management and modern portfolio theory. It defines key concepts like investment, speculation, asset allocation, risk, return, diversification, efficient frontier. Portfolio management aims to balance risk and return through diversification across different asset classes based on an investor's goals, risk tolerance and constraints. Modern portfolio theory provides a framework for optimizing risk-adjusted returns through careful selection of a combination of assets.
L2 flash cards alternative investments - SS 13analystbuddy
The document discusses six main types of real estate investments: 1) Raw land, 2) Residential rentals (apartments), 3) Office buildings, 4) Warehouses, 5) Community shopping centers, and 6) Hotels and motels. For each type, it outlines the main value determinants, investment characteristics, principal risks, and most likely investors. It also provides guidance on testing real estate investments, focusing on understanding the logic rather than memorizing details. Real estate valuation approaches include income approach, cost approach, and sales comparison approach.
This document discusses portfolio analysis and security analysis. It defines portfolio analysis as determining the future risk and return of holding various combinations of individual securities. Portfolio analysis involves diversifying investments across different assets, industries, and companies to reduce non-systematic risk. The document contrasts traditional portfolio analysis, which focuses on lowest risk securities, with modern portfolio theory, which emphasizes combining high and low risk securities to maximize returns at a given level of risk. Key aspects of portfolio analysis include calculating expected returns, variance, and the standard deviation and beta of a portfolio to measure risk. Diversification is presented as an important tool to reduce unsystematic risk.
1. Portfolio management is a process of optimizing investment funds through activities like security analysis, portfolio construction, selection, revision and evaluation.
2. It involves choosing securities to create portfolios that balance risk and expected return. The optimal portfolio lies on the efficient frontier which shows maximum return for each risk level.
3. Risk is measured by variability of returns. The CAPM model relates expected return and systematic risk measured by beta for efficient portfolios on the SML and all securities.
Modern portfolio concepts ppt @ bec domsBabasab Patil
This document discusses modern portfolio concepts including portfolio objectives, return and risk measures, diversification through correlation, international diversification, components of risk, beta as a risk measure, the capital asset pricing model, and traditional versus modern approaches to portfolio construction. Key concepts covered include the efficient frontier, portfolio betas, and reconciling risk-return tradeoffs. Tables and figures are included to illustrate concepts such as correlation, efficient portfolios, security market lines, and portfolio risk-return relationships.
This document discusses portfolio analysis and selection based on modern portfolio theory. It defines key terms like portfolio, phases of portfolio selection, the Markowitz model, efficient frontier, diversification and the optimum portfolio. The Markowitz model uses a mean-variance framework to identify efficient portfolios that maximize return for a given level of risk. An optimum portfolio provides the highest expected return for its risk level by balancing risk across different asset classes through diversification.
The document discusses various methods for valuing companies and estimating required returns. It covers sum-of-the-parts valuation, conglomerate discounts, characteristics of good valuation models, different return concepts such as holding period return and required returns, methods to estimate required returns including CAPM and multifactor models, and discount rates. It also discusses Porter's five forces framework and factors that influence industry competition and profitability.
The document discusses portfolio management and modern portfolio theory. It defines key concepts like investment, speculation, asset allocation, risk, return, diversification, efficient frontier. Portfolio management aims to balance risk and return through diversification across different asset classes based on an investor's goals, risk tolerance and constraints. Modern portfolio theory provides a framework for optimizing risk-adjusted returns through careful selection of a combination of assets.
L2 flash cards alternative investments - SS 13analystbuddy
The document discusses six main types of real estate investments: 1) Raw land, 2) Residential rentals (apartments), 3) Office buildings, 4) Warehouses, 5) Community shopping centers, and 6) Hotels and motels. For each type, it outlines the main value determinants, investment characteristics, principal risks, and most likely investors. It also provides guidance on testing real estate investments, focusing on understanding the logic rather than memorizing details. Real estate valuation approaches include income approach, cost approach, and sales comparison approach.
L2 flash cards portfolio management - SS 18analystbuddy
Mean-variance analysis is used to identify optimal portfolios based on expected returns, variances, and covariances of asset returns. The minimum-variance frontier shows the efficient combinations of expected return and risk. The efficient frontier begins with the global minimum-variance portfolio and provides the maximum expected return for a given level of variance. The capital market line describes combinations of the risk-free asset and market portfolio. The capital asset pricing model expresses expected returns as a linear function of systematic risk measured by beta.
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The document discusses portfolio management and various approaches to constructing portfolios. It defines a portfolio as a combination of different asset classes like stocks, bonds, and money market instruments. The traditional approach to portfolio construction evaluates an individual's overall financial plan and objectives to determine suitable securities. The modern approach uses the Markowitz model to maximize expected return for a given level of risk. This models constructs portfolios along the "efficient frontier" where higher returns are achieved for the same level of risk. Factors like diversification, correlation between assets, and an individual's risk tolerance further influence portfolio selection.
The chapter discusses modern portfolio theory and management. It covers calculating portfolio returns and risk by taking weighted averages of constituent securities. Risk is reduced through diversification of uncorrelated assets. The Markowitz model selects optimal portfolios through analyzing the risk-return tradeoff. Introducing risk-free assets creates the Capital Market Line and market portfolio. The Capital Asset Pricing Model uses beta to predict expected returns based on the market risk premium and risk-free rate. It distinguishes systematic and non-systematic risk. Factor models extend this by considering additional economic factors beyond just the market.
L2 flash cards corporate finance - SS 8analystbuddy
The document discusses various concepts related to capital budgeting and corporate finance. It provides formulas for calculating the investment needed for expansion and replacement projects. It also discusses factors that affect a firm's capital structure, dividend policy, and methods of valuation. Key terms defined include economic profit, residual income, and real options. The document is a study guide that references various readings related to capital budgeting, capital structure, and corporate governance.
The document provides an overview of fundamental analysis and technical analysis techniques used in security analysis. It discusses various fundamental analysis approaches like economy analysis, industry analysis, and company analysis. It also covers technical analysis indicators like Dow Theory, Elliott Wave Principle, chart types, chart patterns, and moving averages. Finally, it provides a brief introduction to the efficient market theory which states that security prices reflect all available information.
The document discusses the Capital Asset Pricing Model (CAPM) and its relationship between risk and expected return. It defines key terms like expected return, variance, standard deviation, covariance, correlation, diversification, systematic and unsystematic risk. It explains that a security's risk is measured by its beta, which represents its non-diversifiable risk related to market movements. The CAPM holds that the expected return of an individual security or portfolio equals the risk-free rate plus a risk premium that depends on the security's systematic risk relative to the market.
This module discusses key concepts related to investment avenues and portfolio management. It covers mutual funds, investor lifecycles, personal finance, international investing, and portfolio management of funds in banks, insurance companies and pension funds. It also provides an introduction to portfolio management, including the meaning of portfolio management, portfolio analysis, portfolio objectives, and the portfolio management process.
This document provides an overview of an upcoming presentation on asset pricing models. The presentation will cover capital market theory, the capital market line, security market line, capital asset pricing model, and diversification. It will discuss the assumptions and formulas for the capital market line and security market line. The capital market line shows expected returns based on portfolio risk, while the security market line shows expected individual asset returns based on systematic risk. The capital asset pricing model uses the concept of beta to calculate the expected return of an asset based on its risk relative to the market.
The document summarizes the evolution of modern portfolio theory from its origins in Harry Markowitz's mean-variance model to subsequent developments like the Sharpe single-index model and CAPM. It discusses how Markowitz showed investors could maximize returns for a given risk level by holding efficient portfolios on the efficient frontier. The Sharpe model reduced the inputs needed for portfolio risk estimation by correlating assets to a market index rather than each other. CAPM then defined the market portfolio as the efficient portfolio and allowed a risk-free asset, changing the shape of the efficient frontier.
The document discusses various types of risks associated with bonds, including default risk, credit spread risk, and downgrade risk. It then provides information on analyzing bonds and issuers, including sources of default risk information, the four Cs of credit analysis (character, covenants, collateral, capacity), factors for evaluating capacity and financial position, using ratios in credit analysis, and cash flow and leverage ratios used by ratings agencies. The document also discusses analyzing specific types of bonds and issuers.
The document provides an overview of security analysis and different analytical techniques used, including fundamental analysis and technical analysis.
Fundamental analysis involves analyzing the economy, industry, and company to determine a company's intrinsic value. Technical analysis uses historical price and volume data to identify trends and patterns that can predict future price movements. Key techniques include chart analysis and identifying support/resistance levels and patterns like head and shoulders. The efficient market hypothesis suggests stock prices already reflect all available public information and it is difficult to outperform the overall market through analysis alone.
The Capital Asset Pricing Model (CAPM) was developed by William Sharpe in 1970 to calculate the expected return of an asset based on its risk. It distinguishes between systematic risk that cannot be diversified away, such as market risk, and unsystematic risk that can be reduced through diversification. The CAPM formula states that the expected return of an asset is equal to the risk-free rate plus a risk premium that is proportional to the asset's systematic risk or beta. Beta measures how volatile an asset's returns are relative to the overall market. The CAPM makes simplifying assumptions about investors and markets. While widely used, some argue it may not perfectly predict returns in practice.
This document provides an overview of modern portfolio theory and the Capital Asset Pricing Model (CAPM). It discusses key concepts like diversification, the market portfolio, and the relationship between risk and return. The CAPM, developed by William Sharpe, uses the market beta to determine the expected return of an asset based on its non-diversifiable risk. The document also briefly discusses the assumptions and elements of the CAPM, as well as the alpha and beta coefficients.
The Markowitz model generates an efficient frontier of optimal portfolios that maximize return for a given level of risk. The Capital Asset Pricing Model (CAPM) builds on this by deriving the security market line (SML) which plots the expected return of individual securities based on their beta coefficient in relation to the market portfolio. The capital market line (CML) extends the efficient frontier by including a risk-free asset, demonstrating how investors can optimize the trade-off between risk and return through borrowing and lending at the risk-free rate.
Security Analysis and Portfolio ManagementShrey Sao
Modern portfolio theory (MPT) provides a framework for constructing investment portfolios to maximize expected return based on a given level of market risk. MPT assumes investors aim to maximize returns for a given level of risk. It uses variance as a measure of risk and covariance to capture how asset returns move together. The efficient frontier graph shows the set of optimal portfolios that offer the highest expected return for a given level of risk. Individual investors select the portfolio on the efficient frontier that maximizes their utility based on their risk tolerance. MPT emphasizes diversification and the benefits of holding inefficiently priced assets.
The Capital Asset Pricing Model (CAPM) was developed in the 1960s as a way to determine the expected return of an asset based on its risk. CAPM assumes that investors will be compensated only based on an asset's systematic or non-diversifiable risk as measured by its beta. The model builds on Markowitz's portfolio theory and introduces the security market line, which plots the expected return of an asset against its beta. According to CAPM, the expected return of an asset is equal to the risk-free rate plus a risk premium that is proportional to the asset's beta.
Modern portfolio theory (MPT) is a theory of finance that aims to construct portfolios that offer the maximum expected return for a given level of risk or the minimum risk for a given level of expected return. MPT uses diversification and asset allocation to reduce portfolio risk. It assumes investors are rational and markets are efficient. MPT models asset returns as normally distributed and defines risk as standard deviation of returns. It seeks to minimize total portfolio variance by combining assets whose returns are not perfectly correlated. The efficient frontier shows the optimal risk-return tradeoff and the capital allocation line incorporates a risk-free asset into the analysis. MPT is widely used but also faces criticisms around its assumptions.
IJERA (International journal of Engineering Research and Applications) is International online, ... peer reviewed journal. For more detail or submit your article, please visit www.ijera.com
Brasil. Ministério da Saúde. Secretaria de Atenção à Saúde. Departamento de Atenção Básica.
Manual das cantinas escolares saudáveis : promovendo a alimentação saudável / Ministério da Saúde, Secretaria de
Atenção à Saúde, Departamento de Atenção Básica. – Brasília: Editora do Ministério da Saúde, 2010.
56 p. : il. color. – (Série B. Textos Básicos de Saúde)
ISBN
1. Alimentação escolar. 2. Alimentação saudável. 3. Alimentação e nutrição. I. Título. II. Série.
CDU 613.2
L2 flash cards portfolio management - SS 18analystbuddy
Mean-variance analysis is used to identify optimal portfolios based on expected returns, variances, and covariances of asset returns. The minimum-variance frontier shows the efficient combinations of expected return and risk. The efficient frontier begins with the global minimum-variance portfolio and provides the maximum expected return for a given level of variance. The capital market line describes combinations of the risk-free asset and market portfolio. The capital asset pricing model expresses expected returns as a linear function of systematic risk measured by beta.
I2
I1
σp
The document discusses portfolio management and various approaches to constructing portfolios. It defines a portfolio as a combination of different asset classes like stocks, bonds, and money market instruments. The traditional approach to portfolio construction evaluates an individual's overall financial plan and objectives to determine suitable securities. The modern approach uses the Markowitz model to maximize expected return for a given level of risk. This models constructs portfolios along the "efficient frontier" where higher returns are achieved for the same level of risk. Factors like diversification, correlation between assets, and an individual's risk tolerance further influence portfolio selection.
The chapter discusses modern portfolio theory and management. It covers calculating portfolio returns and risk by taking weighted averages of constituent securities. Risk is reduced through diversification of uncorrelated assets. The Markowitz model selects optimal portfolios through analyzing the risk-return tradeoff. Introducing risk-free assets creates the Capital Market Line and market portfolio. The Capital Asset Pricing Model uses beta to predict expected returns based on the market risk premium and risk-free rate. It distinguishes systematic and non-systematic risk. Factor models extend this by considering additional economic factors beyond just the market.
L2 flash cards corporate finance - SS 8analystbuddy
The document discusses various concepts related to capital budgeting and corporate finance. It provides formulas for calculating the investment needed for expansion and replacement projects. It also discusses factors that affect a firm's capital structure, dividend policy, and methods of valuation. Key terms defined include economic profit, residual income, and real options. The document is a study guide that references various readings related to capital budgeting, capital structure, and corporate governance.
The document provides an overview of fundamental analysis and technical analysis techniques used in security analysis. It discusses various fundamental analysis approaches like economy analysis, industry analysis, and company analysis. It also covers technical analysis indicators like Dow Theory, Elliott Wave Principle, chart types, chart patterns, and moving averages. Finally, it provides a brief introduction to the efficient market theory which states that security prices reflect all available information.
The document discusses the Capital Asset Pricing Model (CAPM) and its relationship between risk and expected return. It defines key terms like expected return, variance, standard deviation, covariance, correlation, diversification, systematic and unsystematic risk. It explains that a security's risk is measured by its beta, which represents its non-diversifiable risk related to market movements. The CAPM holds that the expected return of an individual security or portfolio equals the risk-free rate plus a risk premium that depends on the security's systematic risk relative to the market.
This module discusses key concepts related to investment avenues and portfolio management. It covers mutual funds, investor lifecycles, personal finance, international investing, and portfolio management of funds in banks, insurance companies and pension funds. It also provides an introduction to portfolio management, including the meaning of portfolio management, portfolio analysis, portfolio objectives, and the portfolio management process.
This document provides an overview of an upcoming presentation on asset pricing models. The presentation will cover capital market theory, the capital market line, security market line, capital asset pricing model, and diversification. It will discuss the assumptions and formulas for the capital market line and security market line. The capital market line shows expected returns based on portfolio risk, while the security market line shows expected individual asset returns based on systematic risk. The capital asset pricing model uses the concept of beta to calculate the expected return of an asset based on its risk relative to the market.
The document summarizes the evolution of modern portfolio theory from its origins in Harry Markowitz's mean-variance model to subsequent developments like the Sharpe single-index model and CAPM. It discusses how Markowitz showed investors could maximize returns for a given risk level by holding efficient portfolios on the efficient frontier. The Sharpe model reduced the inputs needed for portfolio risk estimation by correlating assets to a market index rather than each other. CAPM then defined the market portfolio as the efficient portfolio and allowed a risk-free asset, changing the shape of the efficient frontier.
The document discusses various types of risks associated with bonds, including default risk, credit spread risk, and downgrade risk. It then provides information on analyzing bonds and issuers, including sources of default risk information, the four Cs of credit analysis (character, covenants, collateral, capacity), factors for evaluating capacity and financial position, using ratios in credit analysis, and cash flow and leverage ratios used by ratings agencies. The document also discusses analyzing specific types of bonds and issuers.
The document provides an overview of security analysis and different analytical techniques used, including fundamental analysis and technical analysis.
Fundamental analysis involves analyzing the economy, industry, and company to determine a company's intrinsic value. Technical analysis uses historical price and volume data to identify trends and patterns that can predict future price movements. Key techniques include chart analysis and identifying support/resistance levels and patterns like head and shoulders. The efficient market hypothesis suggests stock prices already reflect all available public information and it is difficult to outperform the overall market through analysis alone.
The Capital Asset Pricing Model (CAPM) was developed by William Sharpe in 1970 to calculate the expected return of an asset based on its risk. It distinguishes between systematic risk that cannot be diversified away, such as market risk, and unsystematic risk that can be reduced through diversification. The CAPM formula states that the expected return of an asset is equal to the risk-free rate plus a risk premium that is proportional to the asset's systematic risk or beta. Beta measures how volatile an asset's returns are relative to the overall market. The CAPM makes simplifying assumptions about investors and markets. While widely used, some argue it may not perfectly predict returns in practice.
This document provides an overview of modern portfolio theory and the Capital Asset Pricing Model (CAPM). It discusses key concepts like diversification, the market portfolio, and the relationship between risk and return. The CAPM, developed by William Sharpe, uses the market beta to determine the expected return of an asset based on its non-diversifiable risk. The document also briefly discusses the assumptions and elements of the CAPM, as well as the alpha and beta coefficients.
The Markowitz model generates an efficient frontier of optimal portfolios that maximize return for a given level of risk. The Capital Asset Pricing Model (CAPM) builds on this by deriving the security market line (SML) which plots the expected return of individual securities based on their beta coefficient in relation to the market portfolio. The capital market line (CML) extends the efficient frontier by including a risk-free asset, demonstrating how investors can optimize the trade-off between risk and return through borrowing and lending at the risk-free rate.
Security Analysis and Portfolio ManagementShrey Sao
Modern portfolio theory (MPT) provides a framework for constructing investment portfolios to maximize expected return based on a given level of market risk. MPT assumes investors aim to maximize returns for a given level of risk. It uses variance as a measure of risk and covariance to capture how asset returns move together. The efficient frontier graph shows the set of optimal portfolios that offer the highest expected return for a given level of risk. Individual investors select the portfolio on the efficient frontier that maximizes their utility based on their risk tolerance. MPT emphasizes diversification and the benefits of holding inefficiently priced assets.
The Capital Asset Pricing Model (CAPM) was developed in the 1960s as a way to determine the expected return of an asset based on its risk. CAPM assumes that investors will be compensated only based on an asset's systematic or non-diversifiable risk as measured by its beta. The model builds on Markowitz's portfolio theory and introduces the security market line, which plots the expected return of an asset against its beta. According to CAPM, the expected return of an asset is equal to the risk-free rate plus a risk premium that is proportional to the asset's beta.
Modern portfolio theory (MPT) is a theory of finance that aims to construct portfolios that offer the maximum expected return for a given level of risk or the minimum risk for a given level of expected return. MPT uses diversification and asset allocation to reduce portfolio risk. It assumes investors are rational and markets are efficient. MPT models asset returns as normally distributed and defines risk as standard deviation of returns. It seeks to minimize total portfolio variance by combining assets whose returns are not perfectly correlated. The efficient frontier shows the optimal risk-return tradeoff and the capital allocation line incorporates a risk-free asset into the analysis. MPT is widely used but also faces criticisms around its assumptions.
IJERA (International journal of Engineering Research and Applications) is International online, ... peer reviewed journal. For more detail or submit your article, please visit www.ijera.com
Brasil. Ministério da Saúde. Secretaria de Atenção à Saúde. Departamento de Atenção Básica.
Manual das cantinas escolares saudáveis : promovendo a alimentação saudável / Ministério da Saúde, Secretaria de
Atenção à Saúde, Departamento de Atenção Básica. – Brasília: Editora do Ministério da Saúde, 2010.
56 p. : il. color. – (Série B. Textos Básicos de Saúde)
ISBN
1. Alimentação escolar. 2. Alimentação saudável. 3. Alimentação e nutrição. I. Título. II. Série.
CDU 613.2
1) Baumgarten superou suas metas de crescimento em 2015 e continuou integrando suas operações no Brasil, Argentina e México.
2) A empresa concluiu seu primeiro estudo de Análise de Ciclo de Vida de produtos e lançou um programa para fortalecer parcerias com fornecedores.
3) Um desafio é fazer com que clientes percebam e demandem mais os projetos de sustentabilidade da Baumgarten, que visa gerar valor econômico e socioambiental para toda a cadeia produtiva.
O documento resume o enredo do livro "Aqueles cães malditos de Arquelau". Um grupo de pesquisadores do Instituto Galilei investiga a identidade de um "bispo vermelho" ao visitar uma villa. Após encontrarem livros e um afresco, descobrem que ele era na verdade o Cardeal Ludovico Terzo di Monteferrato, um homem de alta hierarquia eclesiástica que possuía ideias heréticas.
El documento presenta una clase de matemáticas en la que el profesor propone varios problemas aritméticos para que los estudiantes los resuelvan. El profesor da tres números y un resultado y pide a los estudiantes que realicen las operaciones matemáticas correspondientes para obtener dicho resultado. A medida que van resolviendo los problemas, el profesor ofrece pistas y explica cómo resolver aquellos que los estudiantes no logran.
1) O projeto "Europe - Shared Photo" promove a partilha de fotografias e cultura entre estudantes europeus.
2) Os objetivos incluem promover o respeito pela natureza, conhecer valores culturais regionais e desenvolver habilidades digitais e de comunicação.
3) As fotografias serão publicadas online com informações como o país, localidade, título e autor.
Proyecto Contact Center donde los Agentes pertenecen al grupo de población vulnerable: proyecto autosostenible, escalable, replicable, socialmente responsable e incluyente.
1. O documento fornece dicas para escolher, comprar, armazenar, preparar e consumir pescados de forma segura e saudável.
2. É importante verificar as condições de higiene do local de venda e das embalagens dos produtos, além de observar data de validade.
3. Pescados frescos devem ter pele úmida e firme, olhos brilhantes e ausência de manchas ou odores estranhos.
O documento discute três passagens bíblicas sobre suicídio, mas não recomenda ou endossa o suicídio. Também aborda a interpretação da Bíblia dentro de diferentes tradições cristãs e a importância da comunidade na interpretação das Escrituras.
Este documento ofrece consejos para lograr el éxito personal y la felicidad. Recomienda soltar el pasado, apreciar el presente, unirse a personas positivas, estar agradecido, hablar bien de uno mismo y los demás, enumerar alternativas para cambiar malos hábitos, y ser una persona real que aprende y crece constantemente. El éxito se logra por cambios internos, no es un destino sino un camino que se recorre valorando cada día y enfocándose en lo positivo.
El documento describe un problema con la red de una organización debido a un servidor mal configurado o inexistente, lo que causa inestabilidad, pérdida de información y falta de control de recursos. El investigador pregunta si se conoce la importancia de un servidor en una red y propone crear una guía para enseñar a los administradores de red cómo configurar y manejar correctamente el servidor para tener una red estable y segura que gestione bien las comunicaciones y los recursos.
El documento describe varios softwares de fotogrametría gratuitos o de bajo costo destinados a impartir clases prácticas en países en desarrollo. E-FOTO permite el acceso a una estación fotogramétrica digital rompiendo las barreras de costo a través de software ejecutable en máquinas simples. A tu aire provee un simulador y calculador para resolver modelos matemáticos de la fotogrametría analítica, requiriendo sólo 20MB. Ortomapper permite crear ortofotos a partir de imá
Este documento presenta un análisis DAFO del proyecto INPES Digital 2013 de una institución educativa para poblaciones especiales. Identifica fortalezas como la infraestructura TIC instalada y capacitaciones docentes, pero también debilidades como equipos insuficientes y falta de presupuesto. Propone oportunidades como implementar herramientas virtuales para mejorar la comunicación y gestionar recursos que permitan superar las dificultades encontradas.
Los estudiantes de décimo grado de la Normal Superior de Florencia investigaron los efectos del deterioro del ecosistema, incluyendo inundaciones causadas por la tala indiscriminada que condujo al represamiento de quebradas. Los estudios mostraron cómo el deterioro ambiental afectó a la institución educativa y a sus alrededores, generando inundaciones e impactos en la vida de los residentes. Los estudiantes concluyeron que es necesario cuidar el ecosistema para crear espacios seguros donde las personas puedan vivir juntas y tener
El documento contrasta lo público y lo privado. Define lo privado como lo relativo al individuo, como su espacio íntimo y personal que no afecta a otros. Define lo público como lo relativo a la comunidad, los hechos y sucesos relevantes para muchos individuos. Explica que en el derecho romano existía una clara diferenciación entre el derecho privado, relativo a la utilidad individual, y el derecho público, relativo al estado romano. Finalmente, distingue la justicia conmutativa, que regula intercambios entre sujetos privados,
O documento discute os alimentos regionais brasileiros, dividindo-os por região do país. Cada região possui frutas, hortaliças, leguminosas, tubérculos e preparações culinárias típicas. O documento fornece detalhes nutricionais sobre esses alimentos e tabelas com alimentos ricos em proteínas, vitamina C, cálcio, ferro e fibra.
estinada aos beneficiários do Bolsa Família, esta publicação traz informações importantes sobre como manter uma alimentação saudável e nutritiva.
Título: Preparações Regionais Saudáveis: mais saúde nas mesas das famílias do Programa Bolsa Família.
Tipo de publicação: Guia
Data: 2010
Autor: Ministério da Saúde e MDS
Organizadores: não tem
Resumo: Destinada aos beneficiários do Bolsa Família, esta publicação traz informações importante sobe como manter uma alimentação saudável e nutritiva.
Referência Bibliográfica:
BRASIL. Ministério da Saúde. Ministério do Desenvolvimento Social e Combate à Fome. Preparações Regionais Saudáveis: mais saúde nas mesas das famílias do Programa Bolsa Família. Brasília, 2010. 15p.
Contatos para solicitação da publicação impressa: gabinete.senarc@mds.gov.br
El documento presenta breves descripciones de algunos de los lugares más emblemáticos de París como la Torre Eiffel, la Catedral de Notre Dame, el Museo del Louvre, los Campos Elíseos, el Palacio de Versalles y el barrio de Montmartre, destacando sus características principales y su importancia histórica y cultural.
This document discusses an analysis of investors' risk perceptions towards mutual fund services. It begins with an abstract that outlines the goal of understanding investors' perceptions and expectations to support financial decision making for mutual funds.
The introduction provides background on mutual funds and how they have diversified their product offerings over time. However, these changes still need to align with investors' expectations. The literature review covers previous research on investors' rationality regarding risk-return tradeoffs, investment expectations, and financial innovations in mutual funds.
The document then discusses potential service quality gaps for mutual funds, including ambiguity in investors' expectations and gaps in designing fund services. It introduces the concept of a "tolerance zone" to depict investors' acceptable levels of
This document discusses the risks inherent in hedge fund strategies and argues that the 49% capital requirement under Solvency II does not properly reflect these risks. It analyzes hedge fund strategies using both holdings-based and returns-based approaches. Based on applying an internal model to hedge fund indices over a period including the financial crisis, it concludes that a 25% capital requirement would be more appropriate for a well-diversified hedge fund allocation. The document aims to show that hedge funds can offer capital efficiency and risk-adjusted returns for insurance companies under Solvency II regulations.
1) This research analyzes optimal asset allocation in the Saudi stock market using modern portfolio theory.
2) The researcher collected monthly price data for the top 20 companies from 2008-2013 and calculated returns to analyze risk and expected return.
3) Descriptive statistics showed non-normal return distributions with positive skewness and excess kurtosis. Variance analysis used minimum variance, efficient frontier, and tangency portfolio models to determine optimal allocations.
TO STUDY THE OPTIMIZATION OF PORTFOLIO RISK AND RETURNPriyansh Kesarwani
Vijay Shankar Singh presented on optimizing portfolio risk and return. The presentation covered introducing portfolio theory, constructing three portfolios of public, private and foreign companies, evaluating their risk-adjusted returns over three years using Sharpe's and Treynor's measures. Portfolio III of foreign collaboration securities performed best with the highest three-year return of 52.57% and outperforming on risk-adjusted measures. The presentation recommended investing in portfolio III for long-run gains due to its diversification and correlation with the market index.
5_Saurabh-Agarwal-Sarita v.pdf a study on portfolio management & financial se...vaghasiyadixa1
This research report about portfolio management & financial sector including all the requirements of making research report as per University required.
This document introduces the Two Sigma Factor Lens, which is a framework for constructing a parsimonious set of risk factors that individually describe independent risks across many asset classes yet collectively explain much of the risk in typical institutional investor portfolios. The lens is intended to capture the majority of risk in a holistic yet concise manner so that changes to factor exposures can easily translate to asset allocation changes. The document discusses how analyzing portfolios through a risk factor lens allows investors to better understand overlapping risk sources across asset classes and more efficiently manage portfolio risk.
Assessment of Security Analysis and Portfolio Management in Indian Stock Marketijtsrd
A portfolio is an assortment of protections. Since it is infrequently alluring to contribute the whole assets of an individual or a foundation in solitary security, it is basic that each security is seen in the portfolio setting. Consequently, it appears to be sensible that the normal return of every one of the securities contained in the portfolio. Portfolio investigation thinks about the assurance of future danger and returns in holding different mixes of individual protections. Security Analysis in both customary sense and current sense includes the projection of future profit, or income streams, a figure of the offer cost later on, and assessing the natural estimation of security dependent on the conjecture of income or profits. The current examination is conscious to inspect the Risk and Return Analysis of Selected Stocks in India. Danger might be characterized as the opportunity of varieties in real return. Return is characterized as the addition in the estimation of speculation. The profit for a venture portfolio causes a speculator to assess the monetary presentation of the venture. Dr. Nalla Bala Kalyan | Dr. B. M. Raja Sekhar "Assessment of Security Analysis and Portfolio Management in Indian Stock Market" Published in International Journal of Trend in Scientific Research and Development (ijtsrd), ISSN: 2456-6470, Volume-5 | Issue-2 , February 2021, URL: https://www.ijtsrd.com/papers/ijtsrd38374.pdf Paper Url: https://www.ijtsrd.com/management/risk-management/38374/assessment-of-security-analysis-and-portfolio-management-in-indian-stock-market/dr-nalla-bala-kalyan
This document summarizes the portfolio management process of Arif Habib Investments Limited, an asset management company in Pakistan. It outlines Arif Habib's 6-step portfolio management process, which includes identifying investor objectives, developing market expectations, creating investment strategies, monitoring portfolios, rebalancing as needed, and measuring performance. The document also lists the various funds and investment plans offered by Arif Habib, including 16 mutual funds, 2 pension funds, and 9 investment plans, covering both open-ended and closed-ended options.
This section defines systematic return strategies and discusses their benefits compared to traditional assets. Systematic strategies invest according to predefined, nondiscretionary rules based on public information. They aim to capture specific risk premia embedded in assets. Systematic strategies tend to have lower and more stable average correlations than traditional assets like stocks and bonds. This allows investors to gain more direct access to less correlated risk premia through systematic strategies, improving portfolio efficiency.
The document provides guidance on investment analysis and project selection. It discusses measuring risk and return, using hurdle rates that account for risk, and choosing projects that provide returns above the hurdle rate. The capital asset pricing model is introduced as a method to estimate expected returns based on beta and the risk premium. Diversification and the market portfolio concept are also covered.
Risk Factors as Building Blocks for Portfolio DiversificationCallan
Author: Eugene Podkaminer
Asset classes can be broken down into building blocks, or factors, that explain the majority of the assets’ risk and return characteristics. A factor-based investment approach enables the investor theoretically to remix the factors into portfolios that are better diversified and more efficient than traditional portfolios.
Seemingly diverse asset classes can have unexpectedly high correlations—a result of the significant overlap in their underlying common risk factor exposures. These high correlations caused many portfolios to exhibit poor diversification in the recent market downturn, and investors can use risk factors to view their portfolios and assess risk.
Although constructing ex ante optimized portfolios using risk factor inputs is possible, there are significant challenges to overcome, including the need for active, frequent rebalancing; creation of forward-looking assumptions; and the use of derivatives and short positions. However, key elements of factor-based methodologies can be integrated in multiple ways into traditional asset allocation structures to enhance portfolio construction, illuminate sources of risk, and inform manager structure.
Equity Risk Premium in an Emerging Market Economyiosrjce
The finance literature suggests that in almost any kind of investing, returns would at least have some
relationship with risk-free rate of return (Rf), with investors demanding higher returns for greater risk. Risk-free
asset is regarded as one where the investor knows the expected return with certainty. This leads to the notion of
Equity Risk Premium (ERP), the extra return that, as compensation for the additional borne risk, the investor
earns over the Rf
, typically taken as 91-day Treasury bills (TB) rate of return. While similar studies have been
performed in the past, the applicability of the ERP concept across financial markets and its economic
implications as a risk measure has remained a contentious issue in the field, particular in emerging markets.
The present study seeks to revisit the issue in the Nigerian context based on secondary data spanning 2000-
2011. The statistical analysis based on the capital asset pricing model shows that the country’s Rf proxied by
TBs, had over the years traded at significantly higher levels of return than obtainable from market portfolio,
thus creating a negative ERP phenomenon. The implications of this peculiarity for sustainable wealth creation,
business development and valuation practice, are highlighted. Recent changes in the country’s Administration
makes this study even more relevant, thus, the paper also renews the call for creating a more pro-industry fiscal
policy climate if the national aspiration for sustainable inclusive growth is to be attained.
Does the capital assets pricing model (capm) predicts stock market returns in...Alexander Decker
This document examines whether the Capital Asset Pricing Model (CAPM) can predict stock returns in Ghana using data from selected stocks on the Ghana Stock Exchange from 2006-2010. The results found no statistically significant relationship between actual and predicted returns, indicating CAPM with constant beta cannot explain differences in returns. It was also found that some stocks were on average undervalued while one was overvalued over the period studied. The conclusion is that the standard CAPM model cannot statistically explain the observed differences in actual and estimated returns of the selected Ghanaian stocks.
Portfolio construction requires balancing risk and return. Risks include market, interest rate, credit, liquidity, and operational risks. Hedge funds can help manage these risks by providing diversification and absolute returns. However, hedge funds also carry unique risks, such as those related to short selling and leverage. When constructing a portfolio, investors should understand the risks of individual investments and how they interact as a whole portfolio. This allows for effective risk management and maximizing risk-adjusted returns.
Analysing private equity and venture capital funds through the lens of risk m...Izam Ryan
Can we interpret the role of PE/VC investments as a form of risk management?
Investments in PE/VC are usually thought of as being high risk / high return, But, studies also show that PE investments can reduce risk in certain situations.
The academic version of this paper was submitted in partial fulfilment of the requirements of the Imperial MBA degree and the Diploma of Imperial College London. The academic version of this paper was awarded a Distinction.
The introduction of portfolio management practices into an organization is a significant undertaking that can provide multiple benefits, including achieving business goals and strategies, improved oversight of initiatives, and better allocation of resources. It is important to manage the risks of such a large undertaking. The document recommends understanding the type of work required, assessing existing capabilities, introducing practices in stages based on needs and value, and managing it as a significant initiative using standard project management practices. This will help ensure prudent risk-taking and a successful implementation of portfolio management.
what do you want to do is you can do, if only you are willing to do....right? business it not only for our own selves, but also for everybody good also.
1. P.Divya, P. Ramesh Kumar / International Journal of Engineering Research and Applications
(IJERA) ISSN: 2248-9622 www.ijera.com
Vol. 2, Issue 5, September- October 2012, pp.2100-2105
The Investment Portfolio Selection Using Fuzzy Logic And
Genetic Algorithm
P.Divya1, P. Ramesh Kumar2
1
student, Department Of Cse, Vrsiddhartha Engineering College
2
sr. Assistant Professor, Department Of Cse, Vrsiddhartha Engineering College
ABSTRACT
The selection of a portfolio encounters annual profitability, being for the portfolio the
several extremely complex situations. From weighted average of each asset profitability times
among them, it has to be highlighted, due to its the asset investment risk. The latter indicates how
difficulty and transcendence, the Financial Assets the financial investment has varied regarding the
selection when interrelations (positive and/or average of the past data analysis. Thus, when a
negative) occur among the expected portfolio has to be managed, the decision maker will
profitabilities of each one of them. To solve this have to choose those investments maximizing their
Genetic Algorithms are used due to its utility profitability with the minimum possible risk. when
when offering solutions to complex optimization several investments are brought together into the
problems. Furthermore, by using the Fuzzy same portfolio, the assumed risk does not
Logic, we intend to obtain a closer representation correspond, except for a few given cases, with the
for the uncertainty that characterises Financial weighted average of each one of the investments
Market. This way, it is intended to outline an risk. The idea of correlation between the different
approach to solve Financial Assets selection financial assets profitabilities emerges here and,
problems for a portfolio in a non-linear and therefore, it raises the portfolio risk reduction
uncertainty environment, by applying a Fuzzy through diversification.
logic and Genetic Algorithm to optimize the The risk that can be eliminated through
investment profitability. diversification is called specific risk. Its reason
d’être is based in the fact that many of the threats
Keywords - financial assets, decision making, surrounding a given firm stem out from the own
portfolio analysis, fuzzy logic, genetic algorithms. firm and, perhaps, from its immediate competitors.
1. INTRODUCTION There is also a risk, called market risk, that
In this essay we introduce a new approach cannot be avoided, no matter how much it is
to improve the selection of a portfolio. First of all, diversified. This market risk arises from the fact that
we present the traditional approach to portfolio there are other perils in the Economy as a whole
management. Second, we explain a new approach to threatening all the business. This is the reason why
the problem that considers the use of fuzzy logic. investors are exposed to the uncertainties of the
After that, we introduce the application of Genetic market, no matter how many shares they hold.
Algorithms to optimize the expected return from the Once exposed the reasons to have a
portfolio with fuzzy information. At the end of the diversified investment portfolio in which maximum
paper we include an example of the problems that synergies among assets are obtained, the arising
could be solved with. Finally, in the last section of question is how to achieve that portfolio. The first
the paper we suggest some conclusions and future contribution in this field was made by Markowitz
developments.. (1952), who proposed a investment portfolio
evaluation method based on risk and profitability
2. TRADITIONAL APPROACH TO analysis. According to him, every investor facing
two portfolios with the same risk will choose the
PORTFOLIO MANAGEMENT
one with the bigger profitability, and facing two
The concept of Portfolio Analysis spreads
portfolios with the same profitability will choose the
from the financial area. A financial investment does
one minimising the risk. It is intended to obtain the
not usually have a constant profitability, except for a
optimum decision in the selection of the financial
few exceptions, but changes according to certain
assets.
variables. This variability determines the investment
The different methods consist basically, of
risk, so the bigger risk investment have the higher
three stages. The first one deals with determining all
profitability opportunities, in most of cases.
the available financial assets and, subsequently,
Traditionally, the measures used to valuate
generating every possible portfolio from these
a portfolio profitability and risk are the arithmetic
elements. In the second stage the efficient portfolios,
mean and the standard deviation of the different
that is, those not dominated by others, are selected
financial assets. The former shows the average
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(IJERA) ISSN: 2248-9622 www.ijera.com
Vol. 2, Issue 5, September- October 2012, pp.2100-2105
using some rules, such as the Mean-Variance or the
Stochastic Dominance Then, in the third one, the
optimum portfolio is chosen among them. This final
decision is proposed in this method as purely
intuitive.
3. A NEW APPROACH TO PORTFOLIO
MANAGEMENT
This paper endeavours to find a
representation of the available information in the
financial market , as reliable as possible, since using
both mean and standard deviation as indicators for
investment profitability and risk, may bring out
inefficient decisions. With this, it’s not intended to
suggest their non-validity but, in addition to the
information supplied by those indicators, the
investor can complete his knowledge of the financial Figure 1
market with other sources. In particular, it all deals
with including estimates from market behaviour A TFN has four points that represent or
experts, economic variables forecasts that can define it; in Figure 1 they are: a1 , a2 , a3 , a4 . So,
determine the financial assets behaviour through the a TFN can be represented in a quaternary way:
sensibility they show towards them, government à = ( a1 , a2 , a3 , a4 ) with a1 , a2 , a3 , a4 ∈ ℜ
policies, business strategies, etc., or even it may be and a1 ≤ a2 ≤ a3 ≤ a4
considered subjective aspects such as the broker’s These four numbers involve that:
accuracy when focusing a certain portfolio on ∀ x ≤ a1 μ(x) =0
determined financial assets. With this it is aimed to ∀ x ≥ a4 μ(x) =0
include both objective and subjective criteria, ∀ a2 ≤x ≤ a3 μ(x) =1
provided by the financial market itself. On the other and that function μ(x) for the remaining values is the
hand, as an additional element to this set of issues, it line that joins point ( a1 , 0) with point ( a2 ,1), and
has to be highlighted a relation or interconnection the line joining point ( a3 , 1) with ( a4 , 0).
among the available financial assets. This fact is due Consequently, a TFN membership function, can be
to synergies existing among them, that cause noted as follow:
changes in profitability because of certain situations,
such as modifications in share prices of the
enterprises depending on the same economic
variables, joint ventures, shares of enterprises whose
profitability is interfered with a certain currency
price, fixed interest investments depending on the
interest rate set by each country’s Central Bank, etc.
In order to fit all the available information together
it is proposed to use the Fuzzy logic, since as a
mathematics branch dealing with objective and
subjective matters, it attempts to take a phenomenon The very conceptualisation of TFN allows
as presented in reality, and handle it to make it a good suitability to different real situations,
certain or accurate. particularly to economic and entrepreneurial
The reason to use logic and fuzzy estimates. Thus, for instance, the expected return for
technology is based in author’s perception that, a financial asset in a given period of time can be
since portfolio selectors realise that their established as:
environment and, therefore, the information they R = (4%; 5,5%; 6%; 8%)
handle, is uncertain and diffuse, it seems obvious which means that, the profitability of this
they prefer realistic representations rather than just asset will be at least four percent, that it is likely to
models assumed to be exact. be between five point five and six percent and that it
The decision help system supported by will not be higher than eight percent. This way, not
Trapezoidal Fuzzy Numbers (TFN) is used to only the expected profitability can be represented,
represent uncertain values of the different variables. but also the risk run when investing in a financial
The membership functions that define then, μ(x), are asset, for in that TFN it is represented the whole set
linear, as shown in Figure 1. of possibilities where its profitability is bound to be
found.
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(IJERA) ISSN: 2248-9622 www.ijera.com
Vol. 2, Issue 5, September- October 2012, pp.2100-2105
Apart from a TFNs great adaptability to the human At the same time, it might work out to consider
mind structure, it is also important to consider how those situations in which financial assets have some
easy to use it is, due to the simplicity of its kind of relationship and then, savings can result in
membership function, which is defined by linear the initial expenses incurred to start the investment.
functions. This is why it has to be taken into account the fixed
Once the representation has been decided, a expenses and initial commissions when, in the
study of the qualities of the financial market must be portfolio, assets from the same enterprise, group,
done. That analysis aims to gather the existence of financial entity , etc., have been included. This
variables affecting the profitability of the portfolio information can be represented through two
as a whole. matrixes, one indicating the fixed assets variation:
Therefore, each available financial asset FEVij = {—,FEV12, FEV13,.......FEV1m
will bear investment’s materialization financial FEV21,—, FEV23,.....….FEV2m
expenses, which can be distinguished between those ..........................……………
with a flat amount and those whose value varies FEVm1, FEVm2, FEVm3..... —},
according to the invested quantity as it happens, for and the other one containing commissions or
instance, in commissions. It has to be taken into variable expenses variations:
account that the higher investing capital, the lower VEVij = {—,VEV12, VEV13,...…...VEV1m
influence of those expenses on the decision. Their VEV21,—, VEV23,.……VEV2m
representation can be carried out through matrixes ..........................……………
containing the different values they take. VEVm1, VEVm2, VEVm3..... —}.
For n assets can be considered the following fixed With this information it is possible to
expenses: establish the optimum portfolio selection problem,
FEi = {FE1, FE2, FE3,.......FEn} where it is intended to find out the financial assets
and the following variable expenses: combination maximizing the total expected
VEi = {VE1, VE2, VE3,.......VEn} profitability of the portfolio as a whole.
Traditional methods do not analyse such a complex
Through a specialist’s opinion or through problem, but set it up in
the knowledge the current asset manager has about a linear way, escaping from reality
the capital market, estimates can be accomplished
about the expected profitability for each asset. These 4. APPLICATION OF FUZZY LOGIC
values will be represented by TFNs, that allow to AND GENETIC ALGORITHMS TO THE
fulfil properly the economic variables estimates. The SELECTION OF FINANCIAL
fuzzy profitability matrix for each of the n financial PORTFOLIOS
assets would be: 4.1 GENETIC ALGORITHM
~Ri = { ~R1, ~R2,........ ~Rn} The Genetic Algorithms constitute
optimization tools based on natural selection and on
In addition, different profitabilities can be the genetics mechanisms. In natural selection, the
considered regarding the invested amount and, evolution processes happen when the following
consequently, there will be as many such like conditions are satisfied:
matrixes as different investment levels shown by the • An entity or individual is able to reproduce.
assets. • There is a population of such entities or
Deepening into the analysis, it is possible individuals able to reproduce.
to consider the modifications taking place in the • Some differences in the capacity to survive in the
portfolio’s expected profitability when financial environment are associated to that diversity.
assets related to it are incorporated. This is aimed at Such diversity is shown in changes in the
contemplating interconnections among enterprises chromosomes of the individuals of a population, and
shares, shares with currencies, etc., found out at transfers into the variation of the structure and
analysing thoroughly the financial market. Those behaviour of the individuals in their environment,
modifications can be represented as a matrix which is reflected in the degree of survival,
containing variations of the four values that adaptation and in the level of reproduction. The
determine each assets expected profitability. individuals that adapt better to their environment are
RVIJ = {—,RV12, RV13,.......RV1M those who survive longer and reproduce more.
RV21,—, RV23,.......RV2M In a period of time and after many generations, the
..........................…….. population gets more individuals, whose
RVM1, RVM2, RVM3..... —}, chromosomes define structures and behaviours
adapted to their environment, surviving and
which indicates how the expected reproducing in a higher level , so that in the course
profitability of asset i varies when we invest also in of time, the structure of individuals in the population
asset j. changes due to the natural selection.
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4. P.Divya, P. Ramesh Kumar / International Journal of Engineering Research and Applications
(IJERA) ISSN: 2248-9622 www.ijera.com
Vol. 2, Issue 5, September- October 2012, pp.2100-2105
According to the explanations above and though On the other hand, in this paper, and considering the
there are many possible variations of Genetic inaccuracy of the information used by Genetic
Algorithms, their fundamental mechanisms are: to Algorithms, we will use fuzzy numbers to represent
operate over a population of individuals, usually that information and so, the different operators of
generated in a random way, and changing the the designed Algorithm have to be adapted to that
individuals in every iteration, according to the point which involves a Fuzzy logic and genetic
following steps: algorithm.
a) Evaluation of the individuals of a population.
b) Selection of a new set of individuals. 4.2 SELECTION PROCESS USING FUZZY
c) Reproduction on the base of their relative LOGIC AND GENETIC ALGORITHM
adaptation or fitness. To identify the quality of each investment
d) Re-combination to create a new population from using Fuzzy logic and GA here we use investment
the crossover and mutation operators. ranking to determine the quality of investment. The
The set of individuals resulting of these operations investments with a high rank are regarded as good
conform the next population, iterating this process quality investment. In this study, some financial
until the model cannot produce any fitness improved indicators of the listed companies are employed to
situation. determine and identify the quality of each
Generally, each individual is represented investment. That is, the financial indicators of the
by a binary or decimal string of fixed length, companies are used as input variables while a score
chromosome, that codifies the values of the is given to rate the investments. The output variable
variables that take part in the problem, so that the is investment ranking. Throughout the study, four
representation of the data and the operations can be important financial indicators, return on capital
manipulated to generate new strings fitting better to employed (ROCE), price/earnings ratio (P/E Ratio),
the problem to solve. earning per share (EPS) and liquidity ratio are
Acting this way over a population of utilized in this study.
individuals, an essential component of every ROCE is an indicator of a company's
Genetic Algorithm is introduced, the Fitness profitability related to the total financing, which is
Function, that constitutes the link between such calculated as
Algorithm and the problem to solve. A Fitness ROCE = (Profit)/(Shareholder’s equity)×100% (1)
Function takes a chromosome as input and returns a The higher the indicator (ROCE), the better is the
number that shows the appropriateness of the company’s performance in terms of how efficient
solution represented by the chromosome to the the company utilizes shareholder’s capital to
analyzed problem. produce revenue.
The Fitness Function plays the same role P/E Ratio measures the multiple of earnings per
as the environment in the Natural Selection, due to share at which the investment is traded on the
the fact that the interaction of an individual with its investment exchange.
environment gives a measure of its fitting and it The higher the ratio, the stronger is the company’s
determines that the best adapted individual has a earning power. The calculation of this ratio is
higher probability to survive. computed by
Right after the selection, a process of P/E ratio = (investment price)/(earnings per share)
crossover is performed, trying to imitate the ×100% (2)
reproduction of individuals according to the laws of EPS is a performance indicator that expresses a
Nature, exchanging the genetic information of the company’s net income in relation to the number of
parents (selected individuals), in order to obtain the ordinary shares issued. Generally, the higher the
chromosomes of the offspring, possibly producing indicator, the better is the company’s investment
better or more adapted individuals. value. The calculation of the indicator can be
Besides the exchange of chromosomes, represented as
Nature often produce sporadic changes in the Earnings per share = (Net income)/(The number of
genetic information, denominated by biologist ordinary shares) (3)
mutations. That is the reason why, in the execution Liquidity ratio measures the extent to which a
of the Algorithm, this process is introduced and company can quickly liquidate assets to cover short-
performs small random modifications in the term liabilities. It is calculated as follows:
chromosomes of the individuals resulting from the Liquidity Ratio = (Current Assets)/(Current
crossover. Liabilities) ×100% (4)
When the above described operative is If the liquidity ratio is too high, company
performed correctly within this evolutive process, an performance is not good due to too much cash or
initial population will be improved by its successors investment on hand. When the ratio is too low, the
and therefore, the best fitting individual of the last company does not have sufficient cash to settle
population can be a very appropriate short-term debt.
solution for the problem.
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(IJERA) ISSN: 2248-9622 www.ijera.com
Vol. 2, Issue 5, September- October 2012, pp.2100-2105
When the input variables are determined, we can use point in using GA, which determines what a GA
GA to distinguish and identify the quality of each should optimize. Since the output is some estimated
investment, as illustrated in Fig. 1. The detailed investment ranking of designated testing companies,
procedure is illustrated some actual investment ranking should be defined in
as follows. advance for designing fitness function. Here we use
annual price return (APR) to rank the listed
investment and the APR is represented as
where APRn is the annual price return for
year n, ASPn is the annual investment price for year
n. Usually, the investments with a high annual price
return are regarded as good investments. With the
value of APR evaluated for each of the N trading
investments, they will be assigned for a ranking r
ranged from 1 and N, where 1 is the highest value of
the APR while N is the lowest. For convenience of
comparison, the investment’s rank r should be
mapped linearly into investment ranking ranged
from 0 to 7 with the following equation:
Fig. 1. Investment selection with genetic algorithm
First of all, a population, which consists of
a given number of chromosomes, is initially created Thus, the fitness function can be designed
by randomly assigning “1” and “0” to all genes. In to minimize the root mean square error (RMSE) of
the case of investment ranking, a gene contains only the difference between the financial indicator
a single bit string for the status of input variable. derived ranking and the next year’s actual ranking
The top right part of Figure 1 shows a population of all the listed companies for a particular
with four chromosomes, each chromosome includes chromosome, representing by
different genes. In this study, the initial population
of the GA is generated by encoding four input
variables. For the testing case of ROCE, we design 8
statuses representing different qualities in terms of
different interval, varying from 0 (Extremely poor) After evolving the fitness of the population, the
to 7 (very good). An example of encoding ROCE is best chromosomes with the highest fitness value are
shown in Table 1. Other input variables are encoded selected by means of the roulette wheel. Thereby,
by the same principle. That is, the binary string of a the chromosomes are allocated space on a roulette
gene consists of three single bits, as illustrated by wheel proportional to their fitness and thus the
Fig. 1. fittest chromosomes are more likely selected. In the
Table 1. An example of encoding ROCE following crossover step, offspring chromosomes
ROCE value Status Encoding are created by some crossover techniques. A so-
(-∞, -30%] 0 000 called one-point crossover technique is employed,
(-30%, -20%] 1 001 which randomly selects a crossover point within the
(-20%,-10%] 2 010 chromosome. Then two parent chromosomes are
(-10%,0%] 3 011 interchanged at this point to produce two new
(0%, 10%] 4 100 offspring. After that, the chromosomes are mutated
(10%, 20%] 5 101 with a probability of 0.005 per gene by randomly
(20%, 30%] 6 110 changing genes from “0” to “1” and vice versa. The
(30%,+∞) 7 111 mutation prevents the GA from converging too
Note that 3-digit encoding is used for quickly in a small area of the search space. Finally,
simplicity in this study. Of course, 4-digit encoding the final generation will be judged. If yes, then the
is also adopted, but the computations will be rather optimized results are obtained. If no, then the
complexity. evaluation and reproduction steps are repeated until
The subsequent work is to evaluate the a certain number of generations, until a defined
chromosomes generated by previous operation by a fitness or until a convergence criterion of the
so-called fitness function, while the design of the population are reached. In the ideal case, all
fitness function is a crucial chromosomes of the last generation have the same
genes representing the optimal solution.
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(IJERA) ISSN: 2248-9622 www.ijera.com
Vol. 2, Issue 5, September- October 2012, pp.2100-2105
Through the process of fuzzy logic and GA Fuzzy Sets and Systems, vol. 159, no. 23,
optimization, the investments are ranked according pp. 3183-3200, 2008.
to the fundamental financial information and price [6] HERRERA, F. and VERDEGAY, J.L.
return. Investors can select the top n investments to (1996): “Genetic Algorithms and Soft
construct a portfolio. Computing”, Physica-Verlag.
[7] Chu, T.C. Tsao, C.T. Shiue, Y.R.:
I CONCLUSION Application of Fuzzy Multiple Attribute
The solutions obtained with this Fuzzy Decision Making on Company Analysis for
logic and Genetic Model of portfolio selection are Stock Selection. Proceedings of Soft
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