Title
Variable size genetic relation algorithm for portfolio diversification
Date Issued
01 December 2010
Access level
metadata only access
Resource Type
conference paper
Author(s)
Mabu S.
Hirasawa K.
Waseda University
Abstract
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.
Start page
582
End page
587
Language
English
OCDE Knowledge area
Genética, Herencia Econometría
Scopus EID
2-s2.0-81255195634
Conference
SCIS and ISIS 2010 - Joint 5th International Conference on Soft Computing and Intelligent Systems and 11th International Symposium on Advanced Intelligent Systems
Sources of information: Directorio de Producción Científica Scopus