The trading on the mutual funds by gene expression programming with Sortino ratio

Author:

Chen Hung-Hsin,Yang Chang-Biau,Peng Yung-Hsing

Publisher

Elsevier BV

Subject

Software

Reference38 articles.

1. CVXOPT: Python package for convex optimization;Andersen,2012

2. Performance of genetic programming to extract the trend in noisy data series;Borrelli;Physica A: Statistical Mechanics and its Applications,2006

3. The efficacy of the Sortino ratio and other benchmarked performance measures under skewed return distributions;Chaudhry;Australian Journal of Management,2008

4. Learning discriminant functions with fuzzy attributes for classification using genetic programming;Chen;Expert Systems with Application,2002

5. Dynamic proportion portfolio insurance using genetic programming with principal component analysis;Chen;Expert Systems with Application,2008

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