One important question in investment is how to build adaptive asset allocation strategies, i.e. portfolios which adjust to the changing conditions of the economic environments. This paper proposes an evolutionary approach for the adaptive asset allocation by using Guided Genetic Relation Algorithm(GRA-g), whose main role is to model and evolve the optimal adaptive portfolio structures. Simulations using asset classes in USA show that the proposed scheme offers competitive economic advantages. This paper suggests that the use of evolutionary computing techniques is an excellent tool to aid the asset allocation, whose advantages imply the usefulness to manage the exposure to risk.