Genetic algorithms in multi-stage asset allocation system

Man Chung Chan; Chi Cheong Wong; Bernard K.S. Cheung; Gordon Y N Tang

doi:10.1109/ICSMC.2002.1176060

Genetic algorithms in multi-stage asset allocation system

Man Chung Chan, Chi Cheong Wong, Bernard K.S. Cheung, Gordon Y N Tang

Research output: Chapter in book/report/conference proceeding › Conference proceeding › peer-review

9 Citations (Scopus)

Abstract

This paper presents a decision-making process that incorporates Genetic Algorithms into multi-stage asset allocation system. The objective function is to maximize one’s economic utility or end-of-period wealth. The performance of our system is demonstrated by optimizing the allocation of cash and various stocks in Shenzhen market of China. Experiments are conducted to compare performance of the portfolios optimized by different objective functions in terms of expected return and standard derivation.

Original language	English
Title of host publication	Proceedings - 2002 IEEE International Conference on Systems, Man and Cybernetics
Publisher	IEEE
Pages	316-321
Number of pages	6
Volume	3
ISBN (Print)	0780374371
DOIs	https://doi.org/10.1109/ICSMC.2002.1176060
Publication status	Published - Oct 2002
Event	2002 IEEE International Conference on Systems, Man and Cybernetics - Yasmine Hammamet, Tunisia Duration: 6 Oct 2002 → 9 Oct 2002 https://ieeexplore.ieee.org/xpl/conhome/8325/proceeding

Publication series

Name	Proceedings of the IEEE International Conference on Systems, Man and Cybernetics
Publisher	IEEE
ISSN (Print)	1062-922X

Conference

Conference	2002 IEEE International Conference on Systems, Man and Cybernetics
Country/Territory	Tunisia
City	Yasmine Hammamet
Period	6/10/02 → 9/10/02
Internet address	https://ieeexplore.ieee.org/xpl/conhome/8325/proceeding

Scopus Subject Areas

Control and Systems Engineering
Hardware and Architecture

User-Defined Keywords

Asset allocation
Genetic Algorithms
Multi-stage stochastic optimization

Access to Document

10.1109/ICSMC.2002.1176060

Cite this

@inproceedings{a552ad21a8a24d22b2d0bc57ad44aa5d,

title = "Genetic algorithms in multi-stage asset allocation system",

abstract = "This paper presents a decision-making process that incorporates Genetic Algorithms into multi-stage asset allocation system. The objective function is to maximize one{\textquoteright}s economic utility or end-of-period wealth. The performance of our system is demonstrated by optimizing the allocation of cash and various stocks in Shenzhen market of China. Experiments are conducted to compare performance of the portfolios optimized by different objective functions in terms of expected return and standard derivation.",

keywords = "Asset allocation, Genetic Algorithms, Multi-stage stochastic optimization",

author = "Chan, {Man Chung} and Wong, {Chi Cheong} and Cheung, {Bernard K.S.} and Tang, {Gordon Y N}",

year = "2002",

month = oct,

doi = "10.1109/ICSMC.2002.1176060",

language = "English",

isbn = "0780374371",

volume = "3",

series = "Proceedings of the IEEE International Conference on Systems, Man and Cybernetics",

publisher = "IEEE",

pages = "316--321",

booktitle = "Proceedings - 2002 IEEE International Conference on Systems, Man and Cybernetics",

address = "United States",

url = "https://ieeexplore.ieee.org/xpl/conhome/8325/proceeding",

}

Chan, MC, Wong, CC, Cheung, BKS & Tang, GYN 2002, Genetic algorithms in multi-stage asset allocation system. in Proceedings - 2002 IEEE International Conference on Systems, Man and Cybernetics. vol. 3, Proceedings of the IEEE International Conference on Systems, Man and Cybernetics, IEEE, pp. 316-321, 2002 IEEE International Conference on Systems, Man and Cybernetics, Yasmine Hammamet, Tunisia, 6/10/02. https://doi.org/10.1109/ICSMC.2002.1176060

Genetic algorithms in multi-stage asset allocation system. / Chan, Man Chung; Wong, Chi Cheong; Cheung, Bernard K.S. et al.
Proceedings - 2002 IEEE International Conference on Systems, Man and Cybernetics. Vol. 3 IEEE, 2002. p. 316-321 (Proceedings of the IEEE International Conference on Systems, Man and Cybernetics).

Research output: Chapter in book/report/conference proceeding › Conference proceeding › peer-review

TY - GEN

T1 - Genetic algorithms in multi-stage asset allocation system

AU - Chan, Man Chung

AU - Wong, Chi Cheong

AU - Cheung, Bernard K.S.

AU - Tang, Gordon Y N

PY - 2002/10

Y1 - 2002/10

N2 - This paper presents a decision-making process that incorporates Genetic Algorithms into multi-stage asset allocation system. The objective function is to maximize one’s economic utility or end-of-period wealth. The performance of our system is demonstrated by optimizing the allocation of cash and various stocks in Shenzhen market of China. Experiments are conducted to compare performance of the portfolios optimized by different objective functions in terms of expected return and standard derivation.

AB - This paper presents a decision-making process that incorporates Genetic Algorithms into multi-stage asset allocation system. The objective function is to maximize one’s economic utility or end-of-period wealth. The performance of our system is demonstrated by optimizing the allocation of cash and various stocks in Shenzhen market of China. Experiments are conducted to compare performance of the portfolios optimized by different objective functions in terms of expected return and standard derivation.

KW - Asset allocation

KW - Genetic Algorithms

KW - Multi-stage stochastic optimization

UR - http://www.scopus.com/inward/record.url?scp=0038345943&partnerID=8YFLogxK

U2 - 10.1109/ICSMC.2002.1176060

DO - 10.1109/ICSMC.2002.1176060

M3 - Conference proceeding

AN - SCOPUS:0038345943

SN - 0780374371

VL - 3

T3 - Proceedings of the IEEE International Conference on Systems, Man and Cybernetics

SP - 316

EP - 321

BT - Proceedings - 2002 IEEE International Conference on Systems, Man and Cybernetics

PB - IEEE

T2 - 2002 IEEE International Conference on Systems, Man and Cybernetics

Y2 - 6 October 2002 through 9 October 2002

ER -

Genetic algorithms in multi-stage asset allocation system

Abstract

Publication series

Conference

Scopus Subject Areas

User-Defined Keywords

Access to Document

Other files and links

Fingerprint

Cite this