Variable size genetic relation algorithm for portfolio diversification

Victor Parque, Shingo Mabu, Kotaro Hirasawa

Research output: Contribution to conferencePaper

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
Pages582-587
Number of pages6
Publication statusPublished - 2010 Dec 1
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

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Keywords

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

ASJC Scopus subject areas

  • Artificial Intelligence
  • Information Systems

Cite this

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