Robust genetic network programming on asset selection

Victor Parque Tenorio, Shingo Mabu, Kotaro Hirasawa

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

    Abstract

    Financial innovation is continuously testing the asset selection models, which are the key both for building robust portfolios and for managing diversified risk. This paper describes a novel evolutionary based scheme for the asset selection using Robust Genetic Network Programming(r-GNP). The distinctive feature of r-GNP lies in its generalization ability when building the optimal asset selection model, in which several training environments are used throughout the evolutionary approach to avoid the over-fitting problem to the training data. Simulation using stocks, bonds and currencies in developed financial markets show competitive advantages over conventional asset selection schemes.

    Original languageEnglish
    Title of host publicationIEEE Region 10 Annual International Conference, Proceedings/TENCON
    Pages1021-1026
    Number of pages6
    DOIs
    Publication statusPublished - 2010
    Event2010 IEEE Region 10 Conference, TENCON 2010 - Fukuoka, Japan
    Duration: 2010 Nov 212010 Nov 24

    Other

    Other2010 IEEE Region 10 Conference, TENCON 2010
    CountryJapan
    CityFukuoka
    Period10/11/2110/11/24

    Fingerprint

    Innovation
    Testing
    Financial markets

    ASJC Scopus subject areas

    • Electrical and Electronic Engineering
    • Computer Science Applications

    Cite this

    Parque Tenorio, V., Mabu, S., & Hirasawa, K. (2010). Robust genetic network programming on asset selection. In IEEE Region 10 Annual International Conference, Proceedings/TENCON (pp. 1021-1026). [5686453] https://doi.org/10.1109/TENCON.2010.5686453

    Robust genetic network programming on asset selection. / Parque Tenorio, Victor; Mabu, Shingo; Hirasawa, Kotaro.

    IEEE Region 10 Annual International Conference, Proceedings/TENCON. 2010. p. 1021-1026 5686453.

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

    Parque Tenorio, V, Mabu, S & Hirasawa, K 2010, Robust genetic network programming on asset selection. in IEEE Region 10 Annual International Conference, Proceedings/TENCON., 5686453, pp. 1021-1026, 2010 IEEE Region 10 Conference, TENCON 2010, Fukuoka, Japan, 10/11/21. https://doi.org/10.1109/TENCON.2010.5686453
    Parque Tenorio V, Mabu S, Hirasawa K. Robust genetic network programming on asset selection. In IEEE Region 10 Annual International Conference, Proceedings/TENCON. 2010. p. 1021-1026. 5686453 https://doi.org/10.1109/TENCON.2010.5686453
    Parque Tenorio, Victor ; Mabu, Shingo ; Hirasawa, Kotaro. / Robust genetic network programming on asset selection. IEEE Region 10 Annual International Conference, Proceedings/TENCON. 2010. pp. 1021-1026
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