Variable size genetic relation algorithm for portfolio diversification

Victor Parque, Shingo Mabu, Kotaro Hirasawa

研究成果: Paper査読

1 被引用数 (Scopus)

抄録

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.

本文言語English
ページ582-587
ページ数6
出版ステータスPublished - 2010 12 1
イベントJoint 5th International Conference on Soft Computing and Intelligent Systems and 11th International Symposium on Advanced Intelligent Systems, SCIS and ISIS 2010 - Okayama, Japan
継続期間: 2010 12 82010 12 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

ASJC Scopus subject areas

  • Artificial Intelligence
  • Information Systems

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