TY - GEN
T1 - Guided genetic relation algorithm on the adaptive asset allocation
AU - Parque, Victor
AU - Mabu, Shingo
AU - Hirasawa, Kotaro
PY - 2011/1/1
Y1 - 2011/1/1
N2 - One important question in investment is how to build adaptive asset allocation strategies, i.e. portfolios which adjust to the changing conditions of the economic environments. This paper proposes an evolutionary approach for the adaptive asset allocation by using Guided Genetic Relation Algorithm(GRA-g), whose main role is to model and evolve the optimal adaptive portfolio structures. Simulations using asset classes in USA show that the proposed scheme offers competitive economic advantages. This paper suggests that the use of evolutionary computing techniques is an excellent tool to aid the asset allocation, whose advantages imply the usefulness to manage the exposure to risk.
AB - One important question in investment is how to build adaptive asset allocation strategies, i.e. portfolios which adjust to the changing conditions of the economic environments. This paper proposes an evolutionary approach for the adaptive asset allocation by using Guided Genetic Relation Algorithm(GRA-g), whose main role is to model and evolve the optimal adaptive portfolio structures. Simulations using asset classes in USA show that the proposed scheme offers competitive economic advantages. This paper suggests that the use of evolutionary computing techniques is an excellent tool to aid the asset allocation, whose advantages imply the usefulness to manage the exposure to risk.
KW - adaptive asset allocation
KW - evolutionary computing
KW - genetic relation algorithm
UR - http://www.scopus.com/inward/record.url?scp=81255163578&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=81255163578&partnerID=8YFLogxK
M3 - Conference contribution
AN - SCOPUS:81255163578
SN - 9784907764395
T3 - Proceedings of the SICE Annual Conference
SP - 173
EP - 178
BT - SICE 2011 - SICE Annual Conference 2011, Final Program and Abstracts
PB - Society of Instrument and Control Engineers (SICE)
T2 - 50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011
Y2 - 13 September 2011 through 18 September 2011
ER -