Variable Size Genetic Relation Algorithm for Portfolio Diversification

• Parque Victor

  Waseda University

• Mabu Shingo

  Waseda University

• Hirasawa Kotaro

  Waseda University

抄録

Diversification in finance is the process of spreading investments in heterogeneous asset classes. We provide a novel approach for evolving the diversification process by variable size Genetic Relation Algorithm(vs-GRA). Simulations using assets in USA, Europe and Asia indicate that the proposed approach offers competitive advantages for the global asset allocation problem.

収録刊行物

• SCIS & ISIS

  SCIS & ISIS 2010 (0), 582-587, 2010

  日本知能情報ファジィ学会

キーワード

• Asset Allocation
• Diversification
• Genetic Relation Algorithm

詳細情報

• CRID: 1390282680566611584
• NII論文ID: 130005019632
• DOI: 10.14864/softscis.2010.0.582.0
• 本文言語コード: en
• データソース種別:
  • JaLC
  • CiNii Articles
• 抄録ライセンスフラグ: 使用不可