Diversifying risk in portfolios using a variable-size genetic relation algorithm

Victor Parque Tenorio, Shingo Mabu, Kotaro Hirasawa

    Research output: Contribution to journalArticle

    Abstract

    One important concept in financial risk management is the diversification process of capital allocation. This paper proposes an evolutionary approach for the optimal diversification when making asset allocation using variable-size genetic relation algorithm (vs-GRA), whose main role is to model and evolve structures toward effective and diversified portfolios through its graph structure. Simulations using heterogeneous and globally located asset classes in the United States, Europe, and Asia show that the proposed scheme offers competitive economic advantages.

    Original languageEnglish
    Pages (from-to)291-299
    Number of pages9
    JournalIEEJ Transactions on Electrical and Electronic Engineering
    Volume7
    Issue number3
    DOIs
    Publication statusPublished - 2012 May

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    Risk management
    Economics

    Keywords

    • Asset allocation
    • Evolutionary finance
    • Portfolio diversification
    • Variable-size genetic relation algorithm

    ASJC Scopus subject areas

    • Electrical and Electronic Engineering

    Cite this

    Diversifying risk in portfolios using a variable-size genetic relation algorithm. / Parque Tenorio, Victor; Mabu, Shingo; Hirasawa, Kotaro.

    In: IEEJ Transactions on Electrical and Electronic Engineering, Vol. 7, No. 3, 05.2012, p. 291-299.

    Research output: Contribution to journalArticle

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