A portfolio selection strategy using Genetic Relation Algorithm
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- @InProceedings{Chen:2010:cec,
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author = "Yan Chen and Shingo Mabu and Kotaro Hirasawa",
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title = "A portfolio selection strategy using Genetic Relation
Algorithm",
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booktitle = "IEEE Congress on Evolutionary Computation (CEC 2010)",
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year = "2010",
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address = "Barcelona, Spain",
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month = "18-23 " # jul,
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publisher = "IEEE Press",
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keywords = "genetic algorithms, genetic programming",
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isbn13 = "978-1-4244-6910-9",
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abstract = "This paper proposes a new strategy #x03B2;-GRA for
portfolio selection in which the return and risk are
considered as measures of strength in Genetic Relation
Algorithm (GRA). Since the portfolio beta #x03B2;
efficiently measures the volatility relative to the
benchmark index or the capital market, #x03B2; is
usually employed for portfolio evaluation or
prediction, but scarcely for portfolio construction
process. The main objective of this paper is to propose
an integrated portfolio selection strategy, which
selects stocks based on #x03B2; using GRA. GRA is a new
evolutionary algorithm designed to solve the
optimisation problem due to its special structure. We
illustrate the proposed strategy by experiments and
compare the results with those derived from the
traditional models.",
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DOI = "doi:10.1109/CEC.2010.5586430",
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notes = "WCCI 2010. Also known as \cite{5586430}",
- }
Genetic Programming entries for
Yan Chen
Shingo Mabu
Kotaro Hirasawa
Citations