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Evolving asset selection using genetic network programming
Author(s) -
Parque Victor,
Mabu Shingo,
Hirasawa Kotaro
Publication year - 2012
Publication title -
ieej transactions on electrical and electronic engineering
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.254
H-Index - 30
eISSN - 1931-4981
pISSN - 1931-4973
DOI - 10.1002/tee.21713
Subject(s) - diversification (marketing strategy) , asset allocation , selection (genetic algorithm) , genetic programming , asset (computer security) , bond , computer science , financial market , business , economics , finance , artificial intelligence , marketing , computer security , portfolio
As global financial innovation opens innumerable risks and opportunities, a global view of the asset allocation brings advantages in risk diversification for investments. We propose a novel framework for asset selection under global diversification principles using genetic network programming. Simulations using the stocks, bonds and currencies from relevant financial markets in USA, Europe and Asia show that the proposed framework is effective and offers competitive advantages against the conventional methods in finance and computational fields. © 2011 Institute of Electrical Engineers of Japan. Published by John Wiley & Sons, Inc.