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.
| Original language | English |
|---|---|
| Pages | 582-587 |
| Number of pages | 6 |
| Publication status | Published - 2010 |
| Event | Joint 5th International Conference on Soft Computing and Intelligent Systems and 11th International Symposium on Advanced Intelligent Systems, SCIS and ISIS 2010 - Okayama, Japan Duration: 2010 Dec 8 → 2010 Dec 12 |
Other
| Other | Joint 5th International Conference on Soft Computing and Intelligent Systems and 11th International Symposium on Advanced Intelligent Systems, SCIS and ISIS 2010 |
|---|---|
| Country/Territory | Japan |
| City | Okayama |
| Period | 10/12/8 → 10/12/12 |
Keywords
- Asset allocation
- Diversification
- Evolutionary finance
- Genetic relation algorithm
- Systemic risk
ASJC Scopus subject areas
- Artificial Intelligence
- Information Systems