Dynamical Proportion Portfolio Insurance with Genetic Programming
Created by W.Langdon from
gp-bibliography.bib Revision:1.7964
- @InProceedings{conf/icnc/ChenC05b,
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title = "Dynamical Proportion Portfolio Insurance with Genetic
Programming",
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author = "Jiah-Shing Chen and Chia-Lan Chang",
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year = "2005",
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pages = "735--743",
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editor = "Lipo Wang and Ke Chen and Yew-Soon Ong",
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booktitle = "Advances in Natural Computation, First International
Conference, ICNC 2005, Proceedings, Part II",
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publisher = "Springer",
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series = "Lecture Notes in Computer Science",
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volume = "3611",
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address = "Changsha, China",
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month = aug # " 27-29",
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bibdate = "2005-08-01",
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bibsource = "DBLP,
http://dblp.uni-trier.de/db/conf/icnc/icnc2005-2.html#ChenC05b",
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keywords = "genetic algorithms, genetic programming",
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ISBN = "3-540-28325-0",
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DOI = "doi:10.1007/11539117_104",
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abstract = "a dynamic proportion portfolio insurance (DPPI)
strategy based on the popular constant proportion
portfolio insurance (CPPI) strategy. The constant
multiplier in CPPI is generally regarded as the risk
multiplier. Since the market changes constantly, we
think that the risk multiplier should change
accordingly. This research identifies factors relating
to market volatility. These factors are built into
equation trees by genetic programming. Experimental
results show that our DPPI strategy is more profitable
than traditional CPPI strategy.",
- }
Genetic Programming entries for
Jiah-Shing Chen
Chia-Lan Chang
Citations