A Comparative Analysis of Stock Portfolio Construction by IABC and GARCH with the ISCI in Taiwan Stock Market

The most recent return in the investment is one of the most popular element that investors take into consideration because of its fast and direct return characteristic. With the ongoing discussion about stock portfolio design, we construct the investment model by two phases and draw an analogy in this research. The first step is using ISCI in selecting the potential stocks; and the second step is designing the stock portfolio by the GARCH model and the IABC algorithm aiming for gaining the highest return in the investment. The analysis data used in our experiments include the stock price of daily return in continuous five years in 2011 to 2015. The experimental results indicate that using IABC in constructing the stock portfolio is a stable investment strategy and the gained maximum return is also higher than the portfolio constructed by the GARCH in the Taiwan stock market