Global portfolio diversification by genetic relation algorithm

Victor Parque*, Shingo Mabu, Kotaro Hirasawa

*この研究の対応する著者

研究成果: Conference contribution

5 被引用数 (Scopus)

抄録

Capital flows are increasingly intertwined globally and, consequently, have brought advantages to global investment strategies. Having a global view of portfolio allocation brings about the diversification of risks in investments. In this paper, a framework to select and optimize asset portfolios in relevant financial markets for short term investment is proposed. In this approach, beta portfolio is a measure of intertwined asset risks and Genetic Relation Algorithm is the evolutionary computing framework for building comprehensible and compact structures of global assets. The algorithm evaluates the relational beta coefficient among assets and generates a robust portfolio in the last generation. Simulations are done using stocks, bonds and currencies as three major asset classes, i.e., the data corresponding to relevant financial markets in USA, Europe and Asia, and the efficiency of the proposed method is compared with traditional Capital Asset Pricing Model(CAPM) for building portfolios.

本文言語English
ホスト出版物のタイトルICCAS-SICE 2009 - ICROS-SICE International Joint Conference 2009, Proceedings
ページ2567-2572
ページ数6
出版ステータスPublished - 2009 12月 1
イベントICROS-SICE International Joint Conference 2009, ICCAS-SICE 2009 - Fukuoka, Japan
継続期間: 2009 8月 182009 8月 21

出版物シリーズ

名前ICCAS-SICE 2009 - ICROS-SICE International Joint Conference 2009, Proceedings

Other

OtherICROS-SICE International Joint Conference 2009, ICCAS-SICE 2009
国/地域Japan
CityFukuoka
Period09/8/1809/8/21

ASJC Scopus subject areas

  • 情報システム
  • 制御およびシステム工学
  • 産業および生産工学

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