Application of Genetic Algorithms to Quantitative Asset Allocation Models

This paper discusses the role that Genetic Algorithms (GA) can have in determining asset allocation for multi sector funds. We present an asset allocation model where the investors' utility function departs from the quadratic utility function assumed by the standard Mean-Variance optimisation. We will show how GA can improve the asset allocation process by allowing for the formulation of a more practical asset allocation framework

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Year of publication:	2013
Authors:	Phillip, Andrew
Other Persons:	Naeimi, Nader (contributor) ; Evans, John R. (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Portfolio-Management \| Portfolio selection \| Mathematische Optimierung \| Mathematical programming \| Finanzmarkt \| Financial market \| Evolutionärer Algorithmus \| Evolutionary algorithm

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Extent:	1 Online-Ressource (13 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 25, 2013 erstellt
Other identifiers:	10.2139/ssrn.2238919 [DOI]
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013084579