Juan G. Lazo Lazo, Marco Aurélio C. Pacheco, Marley Maria R. Vellasco
This paper presents the development of a hybrid system based on Genetic Algorithms, Neural Networks and the GARCH model for the selection of stocks and the management of investment portfolios. The hybrid system comprises four modules: a genetic algorithm for selecting the assets that will form the investment portfolio, the GARCH model for forecasting stock volatility, a neural network for predicting asset returns for the portfolio, and another genetic algorithm for determining the optimal weights for each asset. Portfolio management has consisted of weekly updates over a period of 49 weeks.
Keywords: Genetic Algorithms, Neural Networks, GARCH, VaR, Volatility.