Global portfolio diversification by genetic relation algorithm

Victor Parque Tenorio, Shingo Mabu, Kotaro Hirasawa

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

    4 Citations (Scopus)

    Abstract

    Capital flows are increasingly intertwined globally and, consequently, have brought advantages to global investment strategies. Having a global view of portfolio allocation brings about the diversification of risks in investments. In this paper, a framework to select and optimize asset portfolios in relevant financial markets for short term investment is proposed. In this approach, beta portfolio is a measure of intertwined asset risks and Genetic Relation Algorithm is the evolutionary computing framework for building comprehensible and compact structures of global assets. The algorithm evaluates the relational beta coefficient among assets and generates a robust portfolio in the last generation. Simulations are done using stocks, bonds and currencies as three major asset classes, i.e., the data corresponding to relevant financial markets in USA, Europe and Asia, and the efficiency of the proposed method is compared with traditional Capital Asset Pricing Model(CAPM) for building portfolios.

    Original languageEnglish
    Title of host publicationICCAS-SICE 2009 - ICROS-SICE International Joint Conference 2009, Proceedings
    Pages2567-2572
    Number of pages6
    Publication statusPublished - 2009
    EventICROS-SICE International Joint Conference 2009, ICCAS-SICE 2009 - Fukuoka, Japan
    Duration: 2009 Aug 182009 Aug 21

    Other

    OtherICROS-SICE International Joint Conference 2009, ICCAS-SICE 2009
    CountryJapan
    CityFukuoka
    Period09/8/1809/8/21

    Fingerprint

    Costs
    Financial markets

    Keywords

    • Beta
    • CAPM
    • Genetic relation algorithm
    • Portfolio diversification

    ASJC Scopus subject areas

    • Information Systems
    • Control and Systems Engineering
    • Industrial and Manufacturing Engineering

    Cite this

    Parque Tenorio, V., Mabu, S., & Hirasawa, K. (2009). Global portfolio diversification by genetic relation algorithm. In ICCAS-SICE 2009 - ICROS-SICE International Joint Conference 2009, Proceedings (pp. 2567-2572). [5335326]

    Global portfolio diversification by genetic relation algorithm. / Parque Tenorio, Victor; Mabu, Shingo; Hirasawa, Kotaro.

    ICCAS-SICE 2009 - ICROS-SICE International Joint Conference 2009, Proceedings. 2009. p. 2567-2572 5335326.

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

    Parque Tenorio, V, Mabu, S & Hirasawa, K 2009, Global portfolio diversification by genetic relation algorithm. in ICCAS-SICE 2009 - ICROS-SICE International Joint Conference 2009, Proceedings., 5335326, pp. 2567-2572, ICROS-SICE International Joint Conference 2009, ICCAS-SICE 2009, Fukuoka, Japan, 09/8/18.
    Parque Tenorio V, Mabu S, Hirasawa K. Global portfolio diversification by genetic relation algorithm. In ICCAS-SICE 2009 - ICROS-SICE International Joint Conference 2009, Proceedings. 2009. p. 2567-2572. 5335326
    Parque Tenorio, Victor ; Mabu, Shingo ; Hirasawa, Kotaro. / Global portfolio diversification by genetic relation algorithm. ICCAS-SICE 2009 - ICROS-SICE International Joint Conference 2009, Proceedings. 2009. pp. 2567-2572
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