Enhancing global portfolio optimization using Genetic Network Programming

Victor Parque Tenorio, Shingo Mabu, Kotaro Hirasawa

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

    4 Citations (Scopus)

    Abstract

    Financial risk has evolved from simple variability of returns in stock trading activities toward interconnected uncertainty factors in our economic systems. In this context, building global portfolios provides a natural mechanism to manage diversified risk between asset classes. This paper proposes a novel framework for the asset selection and allocation under global diversification principles using Genetic Network Programming(GNP) and Genetic Relation Algorithm(GRA). Asset classes such as stocks, bonds and currencies listed in relevant developed financial markets in USA, Europe and Asia are used. The comparison with conventional schemes in finance literature shows competitive advantages of the proposed approach.

    Original languageEnglish
    Title of host publicationProceedings of the SICE Annual Conference
    Pages3078-3083
    Number of pages6
    Publication statusPublished - 2010
    EventSICE Annual Conference 2010, SICE 2010 - Taipei, Taiwan, Province of China
    Duration: 2010 Aug 182010 Aug 21

    Other

    OtherSICE Annual Conference 2010, SICE 2010
    CountryTaiwan, Province of China
    CityTaipei
    Period10/8/1810/8/21

    Fingerprint

    Global optimization
    Finance
    Economics
    Financial markets
    Uncertainty

    Keywords

    • Asset allocation
    • Asset selection
    • Diversification
    • Genetic network programming
    • Global portfolio optimization

    ASJC Scopus subject areas

    • Electrical and Electronic Engineering
    • Control and Systems Engineering
    • Computer Science Applications

    Cite this

    Parque Tenorio, V., Mabu, S., & Hirasawa, K. (2010). Enhancing global portfolio optimization using Genetic Network Programming. In Proceedings of the SICE Annual Conference (pp. 3078-3083). [5602843]

    Enhancing global portfolio optimization using Genetic Network Programming. / Parque Tenorio, Victor; Mabu, Shingo; Hirasawa, Kotaro.

    Proceedings of the SICE Annual Conference. 2010. p. 3078-3083 5602843.

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

    Parque Tenorio, V, Mabu, S & Hirasawa, K 2010, Enhancing global portfolio optimization using Genetic Network Programming. in Proceedings of the SICE Annual Conference., 5602843, pp. 3078-3083, SICE Annual Conference 2010, SICE 2010, Taipei, Taiwan, Province of China, 10/8/18.
    Parque Tenorio V, Mabu S, Hirasawa K. Enhancing global portfolio optimization using Genetic Network Programming. In Proceedings of the SICE Annual Conference. 2010. p. 3078-3083. 5602843
    Parque Tenorio, Victor ; Mabu, Shingo ; Hirasawa, Kotaro. / Enhancing global portfolio optimization using Genetic Network Programming. Proceedings of the SICE Annual Conference. 2010. pp. 3078-3083
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