An Evolutionary Approach to Multiperiod Asset Allocation

Created by W.Langdon from gp-bibliography.bib Revision:1.8120

@InProceedings{baglioni:2000:eampaa,

• author = "Stefania Baglioni and Celia da Costa Pereira and Dario Sorbello and Andrea G. B. Tettamanzi",
• title = "An Evolutionary Approach to Multiperiod Asset Allocation",
• booktitle = "Genetic Programming, Proceedings of EuroGP'2000",
• year = "2000",
• editor = "Riccardo Poli and Wolfgang Banzhaf and William B. Langdon and Julian F. Miller and Peter Nordin and Terence C. Fogarty",
• volume = "1802",
• series = "LNCS",
• pages = "225--236",
• address = "Edinburgh",
• publisher_address = "Berlin",
• month = "15-16 " # apr,
• organisation = "EvoNet",
• publisher = "Springer-Verlag",
• keywords = "genetic algorithms, genetic programming: Poster",
• ISBN = "3-540-67339-3",
• URL = "http://mago.crema.unimi.it/pub/BaglioniDaCostaPereiraSorbelloTettamanzi2000.ps",
• DOI = "doi:10.1007/978-3-540-46239-2_16",
• 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.",
• notes = "EuroGP'2000, part of \cite{poli:2000:GP}",

}

Genetic Programming entries for Stefania Baglioni Celia da Costa Pereira Dario Sorbello Andrea G B Tettamanzi

Citations