Variable size genetic relation algorithm for portfolio diversification

Victor Parque*, Shingo Mabu, Kotaro Hirasawa

*この研究の対応する著者

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
国/地域Japan
CityOkayama
Period10/12/810/12/12

ASJC Scopus subject areas

  • 人工知能
  • 情報システム

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