SCIS & ISIS
SCIS & ISIS 2010
セッションID: FR-D1-1
会議情報
Variable Size Genetic Relation Algorithm for Portfolio Diversification
*Victor ParqueShingo MabuKotaro Hirasawa
著者情報
会議録・要旨集 フリー

詳細
抄録
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.
著者関連情報
© 2010 Japan Society for Fuzzy Theory and Intelligent Informatics
前の記事 次の記事
feedback
Top