Enhancing global portfolio optimization using Genetic Network Programming

Victor Parque*, Shingo Mabu, Kotaro Hirasawa


研究成果: Conference contribution

4 被引用数 (Scopus)


Financial risk has evolved from simple variability of returns in stock trading activities toward interconnected uncertainty factors in our economic systems. In this context, building global portfolios provides a natural mechanism to manage diversified risk between asset classes. This paper proposes a novel framework for the asset selection and allocation under global diversification principles using Genetic Network Programming(GNP) and Genetic Relation Algorithm(GRA). Asset classes such as stocks, bonds and currencies listed in relevant developed financial markets in USA, Europe and Asia are used. The comparison with conventional schemes in finance literature shows competitive advantages of the proposed approach.

ホスト出版物のタイトルProceedings of SICE Annual Conference 2010, SICE 2010 - Final Program and Papers
出版社Society of Instrument and Control Engineers (SICE)
出版ステータスPublished - 2010 1月 1


名前Proceedings of the SICE Annual Conference

ASJC Scopus subject areas

  • 制御およびシステム工学
  • コンピュータ サイエンスの応用
  • 電子工学および電気工学


「Enhancing global portfolio optimization using Genetic Network Programming」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。