JSAI Technical Report, Type 2 SIG
Online ISSN : 2436-5556
Use of Memetic Algorithms for Portfolio Rebalancing
Claus ARANHAHitoshi IBA
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RESEARCH REPORT / TECHNICAL REPORT FREE ACCESS

2009 Volume 2009 Issue FIN-002 Pages 01-

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Abstract

We present a system that uses Memetic Algorithms to perform long-term rebalancing of financial portfolios. This allows for a greater resilience to changes in the market. In our experiments, we achieved a number of portfolios which show stable return values even during market crash environments.

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