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: Contribution to journal › Article › 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
Pages (from-to)	316-321
Number of pages	6
Journal	Proceedings of the IEEE International Conference on Systems, Man and Cybernetics
Volume	3
DOIs	https://doi.org/10.1109/ICSMC.2002.1176060
Publication status	Published - 2002

Scopus Subject Areas

Control and Systems Engineering
Hardware and Architecture

User-Defined Keywords

Asset allocation
Genetic Algorithms
Multi-stage stochastic optimization

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10.1109/ICSMC.2002.1176060

Cite this

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KW - Multi-stage stochastic optimization

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Genetic algorithms in multi-stage asset allocation system

Abstract

Scopus Subject Areas

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