A Genetic Programming Approach to the Dynamic Portfolio Rebalancing Problem

Created by W.Langdon from gp-bibliography.bib Revision:1.8194

@InCollection{karunamurthy:2003:AGPADPRP,

• author = "Vijay Karunamurthy",
• title = "A Genetic Programming Approach to the Dynamic Portfolio Rebalancing Problem",
• booktitle = "Genetic Algorithms and Genetic Programming at Stanford 2003",
• year = "2003",
• editor = "John R. Koza",
• pages = "100--108",
• address = "Stanford, California, 94305-3079 USA",
• month = "4 " # dec,
• publisher = "Stanford Bookstore",
• keywords = "genetic algorithms, genetic programming",
• URL = "http://www.genetic-programming.org/sp2003/Karunamurthy.pdf",
• size = "9 pages",
• abstract = "Modern portfolio theory holds that the set of efficient portfolios are those that minimize mean variance for a given return; however, the question of how portfolios should be rebalanced over time, given changing correlations among asset class returns and transaction costs, is an op en one. Genetic programming enables the discovery of rebalancing methodologies that can generate excess returns over a passive portfolio, while taking into account significant transaction costs and uncertain values for asset class correlations.",
• notes = "part of \cite{koza:2003:gagp}",

}

Genetic Programming entries for Vijay Karunamurthy

Citations