Abstract
Portfolio construction can become a very complicated problem, as regulatory constraints, individual investor’s requirements, non-trivial indices of risk and subjective quality measures are taken into account, together with multiple investment horizons and cash-flow planning. This problem is approached using a tree of possible scenarios for the future, and an evolutionary algorithm is used to optimize an investment plan against the desired criteria and the possible scenarios. An application to a real defined benefit pension fund case is discussed.
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© 2000 Springer-Verlag Berlin Heidelberg
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Baglioni, S., da Costa Pereira, C., Sorbello, D., Tettamanzi, A.G.B. (2000). An Evolutionary Approach to Multiperiod Asset Allocation. In: Poli, R., Banzhaf, W., Langdon, W.B., Miller, J., Nordin, P., Fogarty, T.C. (eds) Genetic Programming. EuroGP 2000. Lecture Notes in Computer Science, vol 1802. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-46239-2_16
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DOI: https://doi.org/10.1007/978-3-540-46239-2_16
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-67339-2
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