As global financial innovation opens innumerable risks and opportunities, a global view of the asset allocation brings advantages in risk diversification for investments. We propose a novel framework for asset selection under global diversification principles using genetic network programming. Simulations using the stocks, bonds and currencies from relevant financial markets in USA, Europe and Asia show that the proposed framework is effective and offers competitive advantages against the conventional methods in finance and computational fields.
|ジャーナル||IEEJ Transactions on Electrical and Electronic Engineering|
|出版ステータス||Published - 2012 3|
ASJC Scopus subject areas
- Electrical and Electronic Engineering