Ammann, Manuel; Zenkner, Christian - In: Swiss Journal of Economics and Statistics (SJES) 139 (2003) I, pp. 1-40
In this study of tactical asset allocation, we use a genetic algorithm to implement a market timing strategy. The algorithm makes a daily decision whether to invest in the market index or in a riskless asset. The market index is represented by the S&P500 Composite Index, the riskless asset by a...