{"id":"https://openalex.org/W4387005348","doi":"https://doi.org/10.1109/cec53210.2023.10254022","title":"Portfolio Re-Balancing and Optimization Using Directional Changes and Genetic Algorithms","display_name":"Portfolio Re-Balancing and Optimization Using Directional Changes and Genetic Algorithms","publication_year":2023,"publication_date":"2023-07-01","ids":{"openalex":"https://openalex.org/W4387005348","doi":"https://doi.org/10.1109/cec53210.2023.10254022"},"language":"en","primary_location":{"id":"doi:10.1109/cec53210.2023.10254022","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cec53210.2023.10254022","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2023 IEEE Congress on Evolutionary Computation (CEC)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5087774814","display_name":"Rui Almeida","orcid":"https://orcid.org/0000-0002-7844-0167"},"institutions":[{"id":"https://openalex.org/I34352273","display_name":"Maastricht University","ror":"https://ror.org/02jz4aj89","country_code":"NL","type":"education","lineage":["https://openalex.org/I34352273"]}],"countries":["NL"],"is_corresponding":true,"raw_author_name":"Rui Jorge Almeida","raw_affiliation_strings":["School of Business and Economics, Maastricht University,Dept. of Quantitative Economics, Dept. of Data Analytics and Digitization,Maastricht,The Netherlands","Dept. of Quantitative Economics, Dept. of Data Analytics and Digitization, School of Business and Economics, Maastricht University, Maastricht, The Netherlands"],"affiliations":[{"raw_affiliation_string":"School of Business and Economics, Maastricht University,Dept. of Quantitative Economics, Dept. of Data Analytics and Digitization,Maastricht,The Netherlands","institution_ids":["https://openalex.org/I34352273"]},{"raw_affiliation_string":"Dept. of Quantitative Economics, Dept. of Data Analytics and Digitization, School of Business and Economics, Maastricht University, Maastricht, The Netherlands","institution_ids":["https://openalex.org/I34352273"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5060356077","display_name":"Nalan Ba\u015ft\u00fcrk","orcid":"https://orcid.org/0000-0002-0313-3592"},"institutions":[{"id":"https://openalex.org/I34352273","display_name":"Maastricht University","ror":"https://ror.org/02jz4aj89","country_code":"NL","type":"education","lineage":["https://openalex.org/I34352273"]},{"id":"https://openalex.org/I209991678","display_name":"Maastricht School of Management","ror":"https://ror.org/04zb8fk81","country_code":"NL","type":"education","lineage":["https://openalex.org/I209991678"]}],"countries":["NL"],"is_corresponding":false,"raw_author_name":"Nalan Ba\u015ft\u00fcrk","raw_affiliation_strings":["School of Business and Economics, Maastricht University,Dept. of Quantitative Economics,Maastricht,The Netherlands","Dept. of Quantitative Economics, School of Business and Economics, Maastricht University, Maastricht, The Netherlands"],"affiliations":[{"raw_affiliation_string":"School of Business and Economics, Maastricht University,Dept. of Quantitative Economics,Maastricht,The Netherlands","institution_ids":["https://openalex.org/I34352273","https://openalex.org/I209991678"]},{"raw_affiliation_string":"Dept. of Quantitative Economics, School of Business and Economics, Maastricht University, Maastricht, The Netherlands","institution_ids":["https://openalex.org/I34352273"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5091374307","display_name":"Paulo M.M. Rodrigues","orcid":"https://orcid.org/0000-0002-6469-4959"},"institutions":[{"id":"https://openalex.org/I34352273","display_name":"Maastricht University","ror":"https://ror.org/02jz4aj89","country_code":"NL","type":"education","lineage":["https://openalex.org/I34352273"]},{"id":"https://openalex.org/I209991678","display_name":"Maastricht School of Management","ror":"https://ror.org/04zb8fk81","country_code":"NL","type":"education","lineage":["https://openalex.org/I209991678"]}],"countries":["NL"],"is_corresponding":false,"raw_author_name":"Paulo Rodrigues","raw_affiliation_strings":["School of Business and Economics, Maastricht University,Dept. of Finance,Maastricht,The Netherlands","Dept. of Finance, School of Business and Economics, Maastricht University, Maastricht, The Netherlands"],"affiliations":[{"raw_affiliation_string":"School of Business and Economics, Maastricht University,Dept. of Finance,Maastricht,The Netherlands","institution_ids":["https://openalex.org/I34352273","https://openalex.org/I209991678"]},{"raw_affiliation_string":"Dept. of Finance, School of Business and Economics, Maastricht University, Maastricht, The Netherlands","institution_ids":["https://openalex.org/I34352273"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5087774814"],"corresponding_institution_ids":["https://openalex.org/I34352273"],"apc_list":null,"apc_paid":null,"fwci":1.1997,"has_fulltext":false,"cited_by_count":4,"citation_normalized_percentile":{"value":0.80231759,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":null,"issue":null,"first_page":"1","last_page":"8"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9983000159263611,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11052","display_name":"Energy Load and Power Forecasting","score":0.9954000115394592,"subfield":{"id":"https://openalex.org/subfields/2208","display_name":"Electrical and Electronic Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.742273211479187},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7333520650863647},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.7011076807975769},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.5053706765174866},{"id":"https://openalex.org/keywords/rate-of-return-on-a-portfolio","display_name":"Rate of return on a portfolio","score":0.47918736934661865},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.47172537446022034},{"id":"https://openalex.org/keywords/replicating-portfolio","display_name":"Replicating portfolio","score":0.4592689275741577},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.45357170701026917},{"id":"https://openalex.org/keywords/genetic-algorithm","display_name":"Genetic algorithm","score":0.4330984950065613},{"id":"https://openalex.org/keywords/noise","display_name":"Noise (video)","score":0.41728585958480835},{"id":"https://openalex.org/keywords/optimization-problem","display_name":"Optimization problem","score":0.4139633774757385},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.22586768865585327},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.1737893521785736},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.16483920812606812},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.1514834761619568},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.13370954990386963}],"concepts":[{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.742273211479187},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7333520650863647},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.7011076807975769},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.5053706765174866},{"id":"https://openalex.org/C104946779","wikidata":"https://www.wikidata.org/wiki/Q7295542","display_name":"Rate of return on a portfolio","level":4,"score":0.47918736934661865},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.47172537446022034},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.4592689275741577},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.45357170701026917},{"id":"https://openalex.org/C8880873","wikidata":"https://www.wikidata.org/wiki/Q187787","display_name":"Genetic algorithm","level":2,"score":0.4330984950065613},{"id":"https://openalex.org/C99498987","wikidata":"https://www.wikidata.org/wiki/Q2210247","display_name":"Noise (video)","level":3,"score":0.41728585958480835},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.4139633774757385},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.22586768865585327},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.1737893521785736},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.16483920812606812},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.1514834761619568},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.13370954990386963},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C115961682","wikidata":"https://www.wikidata.org/wiki/Q860623","display_name":"Image (mathematics)","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1109/cec53210.2023.10254022","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cec53210.2023.10254022","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2023 IEEE Congress on Evolutionary Computation (CEC)","raw_type":"proceedings-article"},{"id":"pmh:oai:cris.maastrichtuniversity.nl:publications/48972baf-7cab-4b2b-8153-2265a4ea5e65","is_oa":false,"landing_page_url":"https://cris.maastrichtuniversity.nl/en/publications/48972baf-7cab-4b2b-8153-2265a4ea5e65","pdf_url":null,"source":{"id":"https://openalex.org/S4306402616","display_name":"Research Publications (Maastricht University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I34352273","host_organization_name":"Maastricht University","host_organization_lineage":["https://openalex.org/I34352273"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Almeida, R J, Bast\u00fcrk, N & Rodrigues, P 2023, Portfolio Re-Balancing and Optimization Using Directional Changes and Genetic Algorithms. in 2023 IEEE Congress on Evolutionary Computation (CEC)., 10254022, IEEE Xplore, pp. 1-8, 2023 IEEE Congress on Evolutionary Computation (CEC), Chicago, Illinois, United States, 1/07/23. https://doi.org/10.1109/CEC53210.2023.10254022","raw_type":"info:eu-repo/semantics/publishedVersion"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G8143540569","display_name":null,"funder_award_id":"195.187","funder_id":"https://openalex.org/F4320321800","funder_display_name":"Nederlandse Organisatie voor Wetenschappelijk Onderzoek"}],"funders":[{"id":"https://openalex.org/F4320321800","display_name":"Nederlandse Organisatie voor Wetenschappelijk Onderzoek","ror":"https://ror.org/04jsz6e67"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":35,"referenced_works":["https://openalex.org/W110885661","https://openalex.org/W842098112","https://openalex.org/W1659842140","https://openalex.org/W1928677320","https://openalex.org/W1942193142","https://openalex.org/W2000564471","https://openalex.org/W2001887873","https://openalex.org/W2045547871","https://openalex.org/W2062125287","https://openalex.org/W2107238783","https://openalex.org/W2109937852","https://openalex.org/W2127088319","https://openalex.org/W2133535658","https://openalex.org/W2142640031","https://openalex.org/W2158408140","https://openalex.org/W2163969674","https://openalex.org/W2264669564","https://openalex.org/W2344279130","https://openalex.org/W2417272239","https://openalex.org/W2550740438","https://openalex.org/W2565473312","https://openalex.org/W2588548232","https://openalex.org/W2786049806","https://openalex.org/W2786622072","https://openalex.org/W2896736093","https://openalex.org/W2948927382","https://openalex.org/W3121451334","https://openalex.org/W3121761197","https://openalex.org/W4206643036","https://openalex.org/W4220779426","https://openalex.org/W4242902962","https://openalex.org/W4308381112","https://openalex.org/W4389976716","https://openalex.org/W6693399504","https://openalex.org/W6729778529"],"related_works":["https://openalex.org/W2367990330","https://openalex.org/W1986311305","https://openalex.org/W2221832056","https://openalex.org/W2184147879","https://openalex.org/W3164377088","https://openalex.org/W4320060413","https://openalex.org/W2041730429","https://openalex.org/W3210725698","https://openalex.org/W2967724605","https://openalex.org/W3124351793"],"abstract_inverted_index":{"Dynamic":[0],"portfolio":[1,48,64,74,82,88,104,251,299,326,331],"optimization":[2,65,77],"is":[3,93,164,179],"a":[4,59,67,94,140,241,250,323],"crucial":[5],"but":[6],"complex":[7],"task":[8],"due":[9],"to":[10,53,113,129,160,205,219,234,249,286],"financial":[11],"market":[12],"dynamics":[13],"and":[14,47,81,261,277,308,322],"the":[15,73,76,103,133,136,147,172,187,190,197,208,213,226,246,271,284,291,297,305,312,316,335],"difficulty":[16],"of":[17,41,78,102,146,189,252,311,329],"disentangling":[18],"noise":[19,148],"from":[20,202,212],"substantial":[21,95,107],"changes":[22,109],"in":[23,98,135,149,327],"stock":[24],"prices.":[25,151,222],"In":[26],"most":[27],"existing":[28],"methods,":[29],"portfolios":[30],"are":[31,44,50,110,268],"re-optimized,":[32],"hence":[33,143],"re-balanced,":[34],"at":[35,167],"pre-specified":[36],"time":[37,123,293],"periods,":[38],"return":[39],"properties":[40],"each":[42,126,168],"asset":[43,127,137,150,198,221,264],"dynamically":[45],"computed,":[46],"weights":[49,188],"optimized":[51],"according":[52,112,128],"an":[54,121],"objective":[55],"function.":[56],"We":[57,223,295],"propose":[58],"novel":[60],"algorithm":[61,178],"for":[62,71,125,290],"dynamic":[63],"with":[66,301],"two-step":[68],"signaling":[69,154,174],"mechanism":[70,155],"re-balancing":[72,79,89,163],"including":[75,255,334],"points":[80],"weights.":[83],"The":[84,152,176],"first":[85,173,242],"step":[86],"signals":[87],"only":[90],"if":[91,162],"there":[92],"price":[96,108,138,199],"change":[97,115,134],"one":[99,262],"or":[100,131],"more":[101],"constituents.":[105],"These":[106],"defined":[111],"directional":[114],"(DC)":[116],"methods.":[117],"DC":[118,203],"methods":[119,204,333],"create":[120],"intrinsic":[122],"series":[124],"whether":[130],"not":[132],"exceeds":[139],"threshold":[141],"level,":[142],"removing":[144],"part":[145],"second":[153],"uses":[156],"genetic":[157,177],"algorithms":[158],"(GA)":[159],"assess":[161],"indeed":[165],"profitable":[166],"point":[169],"indicated":[170],"by":[171],"mechanism.":[175],"set":[180,232],"up":[181,233],"such":[182,303],"that":[183,207,225],"it":[184],"simultaneously":[185],"optimizes":[186],"re-balanced":[191],"portfolio.":[192],"For":[193],"GA,":[194],"we":[195,244,282],"input":[196],"summaries":[200],"retrieved":[201],"ensure":[206],"GA":[209,227],"can":[210,230],"learn":[211],"relatively":[214],"less":[215],"noisy":[216],"data":[217],"compared":[218],"observed":[220,269],"show":[224],"fit":[228],"function":[229],"be":[231],"include":[235],"several":[236],"conventional":[237],"trading":[238],"strategies.":[239],"As":[240],"step,":[243],"apply":[245,283],"proposed":[247],"method":[248,285],"30":[253,278],"assets":[254],"29":[256],"Exchange":[257],"Traded":[258],"Funds":[259],"(ETF)":[260],"risk-free":[263],"where":[265],"daily":[266],"prices":[267],"during":[270],"period":[272],"between":[273],"2":[274],"January":[275],"2018":[276],"December":[279],"2021.":[280],"Second,":[281],"100":[287],"individual":[288],"stocks":[289],"same":[292],"period.":[294],"compare":[296],"obtained":[298],"results":[300],"benchmarks,":[302],"as":[304],"simple":[306],"buy":[307],"hold":[309],"strategy":[310],"S&P":[313],"500":[314],"index,":[315],"naive":[317],"<tex":[318],"xmlns:mml=\"http://www.w3.org/1998/Math/MathML\"":[319],"xmlns:xlink=\"http://www.w3.org/1999/xlink\">$1/N$</tex>":[320],"portfolio,":[321],"minimum":[324],"variance":[325],"terms":[328],"standard":[330],"evaluation":[332],"Sharpe":[336],"ratio.":[337]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2023,"cited_by_count":1}],"updated_date":"2026-03-09T08:58:05.943551","created_date":"2025-10-10T00:00:00"}