Portfolio construction can become a very complicated problem, as regulatory constraints, individual investorrsquos 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.
An evolutionary approach to multiperiod asset allocation / S. Baglioni, C. da Costa Pereira, D. Sorbello, A.G.B. Tettamanzi (LECTURE NOTES IN COMPUTER SCIENCE). - In: Genetic programming / [a cura di] R. Poli, W. Banzhaf, W.B. Langdon, J. Miller, P. Nordin, T.C. Fogarty. - Berlin : Springer, 2000. - ISBN 9783540673392. - pp. 225-236 (( Intervento presentato al 3. convegno EuroGP tenutosi a Edinburgh nel 2000.
An evolutionary approach to multiperiod asset allocation
C. da Costa PereiraSecondo
;A.G.B. TettamanziUltimo
2000
Abstract
Portfolio construction can become a very complicated problem, as regulatory constraints, individual investorrsquos 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.
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