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 de fined benefi t pension fund case is discussed.
Evolutionary multiperiod asset allocation / S. Baglioni, D. Sorbello, C. da Costa Pereira, A.G.B. Tettamanzi - In: GECCO 2000 : proceedings of the Genetic and evolutionary computation conference : a joint meeting of the ninth International conference on genetic algorithms (ICGA-2000) and the fifth Annual genetic programming conference (GP-2000) : july 10-12, 2000, Las Vagas, Nevada / [a cura di] D. Whitley ... [et al.]. - San Francisco : Morgan Kaufmann, 2000. - ISBN 1558607080. - pp. 597-604 (( Intervento presentato al 2. convegno Genetic and Evolutionary Computation Conference (GECCO) tenutosi a Las Vegas nel 2000.
Evolutionary multiperiod asset allocation
C. da Costa PereiraPenultimo
;A.G.B. TettamanziUltimo
2000
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 de fined benefi t pension fund case is discussed.
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