Variable size genetic relation algorithm for portfolio diversification

Victor Parque*, Shingo Mabu, Kotaro Hirasawa

*Corresponding author for this work

Research output: Contribution to conferencePaperpeer-review

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
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
Country/TerritoryJapan
CityOkayama
Period10/12/810/12/12

Keywords

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

ASJC Scopus subject areas

  • Artificial Intelligence
  • Information Systems

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