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Portfolio management by Genetic algorithm with mutation
# 1.Import library
import time
import numpy as np
from numpy.random import *
seed(100)
# 2.Setting up the data
conv = np.array([(6,-5,4), (-5,17,-11),(4,-11,24)])
mu=np.array([8,12,15])
print(conv)
print(mu)
const=0.1
n=len(mu)
popsize=8
beta=2
n
pwm=(1/n)*rand(n, popsize)
# 3. Evaluate and select genes
pwm1=pwm[: ,1]
# 3.1 Obtain the return of portfolio
preturn=np.dot(mu, pwm)
# 3.2.1 Obtain risk of portfolio for one gene
pvar=0.5*beta*(np.dot(np.dot(pwm1, conv), pwm1))
# 3.2.2 Obtain risk of portfolio for all genes
pvar=list(range(popsize))
for j in range(popsize):
pvar[j]=0.5*beta*(np.dot(np.dot(pwm[: , j], conv), pwm[: , j]))
print(len(pvar))
print(type(pvar))
print(pvar)
# 3.3 Select the best gene
pcriteria=preturn-pvar
print(type(pvar))
print(pcriteria)
top=np.max(pcriteria)
topindex=np.argmax(pcriteria)
wtop=pwm[:, topindex]
print(top)
print(topindex)
# 4. Perfome GA operation and create next generations
nruns=10000
t=time.time()
for k in range(nruns):
preturn=np.dot(mu, pwm)
pvar=list(range(popsize))
for j in range(popsize):
pvar[j]=0.5*beta*(np.dot(np.dot(pwm[: , j], conv), pwm[: , j]))
pcriteria=preturn-pvar
top=np.max(pcriteria)
topindex=np.argmax(pcriteria)
wtop=pwm[:, topindex]
for i in range(popsize-1):
w1=wtop[0]+rand()*const
w2=wtop[1]+rand()*const
w3=wtop[2]+rand()*const
temp=w1+w2+w3
w1=w1/temp
w2=w2/temp
w3=w3/temp
pwm[: , i]=[w1,w2,w3]
t2 = time.time()
print(round(t2-t, 5), 'Seconds to predict')
W=[w1,w2,w3]
Retern=np.dot(W, mu)
Risk=np.sqrt(np.dot(np.dot(W, conv), W))
W,Retern,Risk
# This code is solely for educational purpose. The code cannot be used for investments in practive. TOSHI STATS SDN. BHD. and I do not accept any responsibility or liability for loss or damage occasioned to any person or property through using materials, instructions, methods, algorithm or ideas contained herein, or acting or refraining from acting as a result of such use. TOSHI STATS SDN. BHD. and I expressly disclaim all implied warranties, including merchantability or fitness for any particular purpose. There will be no duty on TOSHI STATS SDN. BHD. and me to correct any errors or defects in the codes and the software.
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