Dynamical Proportion Portfolio Insurance with Genetic Programming

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@InProceedings{conf/icnc/ChenC05b,

• title = "Dynamical Proportion Portfolio Insurance with Genetic Programming",
• author = "Jiah-Shing Chen and Chia-Lan Chang",
• year = "2005",
• pages = "735--743",
• editor = "Lipo Wang and Ke Chen and Yew-Soon Ong",
• booktitle = "Advances in Natural Computation, First International Conference, ICNC 2005, Proceedings, Part II",
• publisher = "Springer",
• series = "Lecture Notes in Computer Science",
• volume = "3611",
• address = "Changsha, China",
• month = aug # " 27-29",
• bibdate = "2005-08-01",
• bibsource = "DBLP, http://dblp.uni-trier.de/db/conf/icnc/icnc2005-2.html#ChenC05b",
• keywords = "genetic algorithms, genetic programming",
• ISBN = "3-540-28325-0",
• DOI = "doi:10.1007/11539117_104",
• 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