Variable size genetic relation algorithm for portfolio diversification

Victor Parque Tenorio, Shingo Mabu, Kotaro Hirasawa

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

    1 Citation (Scopus)

    Abstract

    Diversification in finance is the process of spreading investments in heterogeneous asset classes. We provide a novel approach for evolving the diversification process by variable size Genetic Relation Algorithm(vs-GRA). Simulations using assets in USA, Europe and Asia indicate that the proposed approach offers competitive advantages for the global asset allocation problem.

    Original languageEnglish
    Title of host publicationSCIS and ISIS 2010 - Joint 5th International Conference on Soft Computing and Intelligent Systems and 11th International Symposium on Advanced Intelligent Systems
    Pages582-587
    Number of pages6
    Publication statusPublished - 2010
    EventJoint 5th International Conference on Soft Computing and Intelligent Systems and 11th International Symposium on Advanced Intelligent Systems, SCIS and ISIS 2010 - Okayama, Japan
    Duration: 2010 Dec 82010 Dec 12

    Other

    OtherJoint 5th International Conference on Soft Computing and Intelligent Systems and 11th International Symposium on Advanced Intelligent Systems, SCIS and ISIS 2010
    CountryJapan
    CityOkayama
    Period10/12/810/12/12

    Fingerprint

    Finance

    Keywords

    • Asset allocation
    • Diversification
    • Evolutionary finance
    • Genetic relation algorithm
    • Systemic risk

    ASJC Scopus subject areas

    • Artificial Intelligence
    • Information Systems

    Cite this

    Parque Tenorio, V., Mabu, S., & Hirasawa, K. (2010). Variable size genetic relation algorithm for portfolio diversification. In SCIS and ISIS 2010 - Joint 5th International Conference on Soft Computing and Intelligent Systems and 11th International Symposium on Advanced Intelligent Systems (pp. 582-587)

    Variable size genetic relation algorithm for portfolio diversification. / Parque Tenorio, Victor; Mabu, Shingo; Hirasawa, Kotaro.

    SCIS and ISIS 2010 - Joint 5th International Conference on Soft Computing and Intelligent Systems and 11th International Symposium on Advanced Intelligent Systems. 2010. p. 582-587.

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

    Parque Tenorio, V, Mabu, S & Hirasawa, K 2010, Variable size genetic relation algorithm for portfolio diversification. in SCIS and ISIS 2010 - Joint 5th International Conference on Soft Computing and Intelligent Systems and 11th International Symposium on Advanced Intelligent Systems. pp. 582-587, Joint 5th International Conference on Soft Computing and Intelligent Systems and 11th International Symposium on Advanced Intelligent Systems, SCIS and ISIS 2010, Okayama, Japan, 10/12/8.
    Parque Tenorio V, Mabu S, Hirasawa K. Variable size genetic relation algorithm for portfolio diversification. In SCIS and ISIS 2010 - Joint 5th International Conference on Soft Computing and Intelligent Systems and 11th International Symposium on Advanced Intelligent Systems. 2010. p. 582-587
    Parque Tenorio, Victor ; Mabu, Shingo ; Hirasawa, Kotaro. / Variable size genetic relation algorithm for portfolio diversification. SCIS and ISIS 2010 - Joint 5th International Conference on Soft Computing and Intelligent Systems and 11th International Symposium on Advanced Intelligent Systems. 2010. pp. 582-587
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