Academy of Economic Science, Bucharest
1. Abstract
This paper presents general information regarding Portfolio Theory and Genetic Algorithms that we used for a Portfolio Selection Application written in Java. It is intended to be a online application, that can be used for evaluating investment opportunities in stock market. This application works on a real sample data, stored in a relational database; Now it’s a Microsoft Access database and we intend to port it to MySql later.
The application is developed using a Layered Architectural Patterns, that is data access, business object layer, and user interface layer have sharply separated functionality.
For the selection of portfolios we developed a highly customizable Genetic Algorithms library that was used for the search of the solution space.
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2.1 Introduction |
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2.2 Harry Markowitz Model |
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2.3 William Sharpe Model |
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2.4 Other Ideas |
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2.5 The Impact of Technology on Portfolio Theory |
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4.1 Use case Diagram |
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4.2 Package Diagram |
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4.3 Class Diagrams |
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4.3.1 Data Access Layer Class Diagram |
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4.3.2 Business Object Layer Class Diagram |
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4.3.3 User Interface Layer Class Diagram |
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4.3.4 Genetic Algorithms Class Diagram |
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6.1 SQL queries for Sharpe’s Model Coefficients |