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 journalArticlepeer-review

7 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 languageEnglish
Pages (from-to)316-321
Number of pages6
JournalProceedings of the IEEE International Conference on Systems, Man and Cybernetics
Volume3
DOIs
Publication statusPublished - 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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