SCIS & ISIS
SCIS & ISIS 2010
Session ID : FR-D1-1
Conference information
Variable Size Genetic Relation Algorithm for Portfolio Diversification
*Victor ParqueShingo MabuKotaro Hirasawa
Author information
CONFERENCE PROCEEDINGS FREE ACCESS

Details
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.
Content from these authors
© 2010 Japan Society for Fuzzy Theory and Intelligent Informatics
Previous article Next article
feedback
Top