GAによる動的なアセットで構成されたポートフォリオの最適化

抄録

The portfolio optimizations are generally to optimize the proportion of funds in the static-asset-portfolio. It means that the assets included in the portfolio have already been given before the optimizing process. Therefore we have a critical problem that the assets not included in the portfolio in the first place are never optimized. In order to avoid this problem, we propose a method that optimizes the portfolio consisting of not the given static assets but the dynamically selected assets in this paper. Our method consists of the following two steps, Steps A and B. Step A is to move the valuable assets expected to greatly good influence on the objective function from all assets into the portfolio through a genetic algorithm. Step B is to remove the valueless assets expected to no-good/bad influence on the objective function from the portfolio through a genetic algorithm. In the numerical experiments, we apply the proposed method to the Tokyo Stock Exchange in order to make index funds. We show that our method works well for the dynamic-asset-portfolio optimizations.