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Paper
Evolving asset selection using genetic network programming
Article first published online: 20 DEC 2011
DOI: 10.1002/tee.21713
Copyright © 2011 Institute of Electrical Engineers of Japan
Issue
IEEJ Transactions on Electrical and Electronic Engineering
Volume 7, Issue 2, pages 174–182, March 2012
Additional Information
How to Cite
Parque, V., Mabu, S. and Hirasawa, K. (2012), Evolving asset selection using genetic network programming. IEEJ Trans Elec Electron Eng, 7: 174–182. doi: 10.1002/tee.21713
Publication History
- Issue published online: 24 JAN 2012
- Article first published online: 20 DEC 2011
- Manuscript Revised: 4 AUG 2010
- Manuscript Received: 14 MAY 2010
- Abstract
- Article
- References
- Cited By
Keywords:
- genetic network programming;
- asset selection;
- value and growth;
- evolutionary finance
Abstract
As global financial innovation opens innumerable risks and opportunities, a global view of the asset allocation brings advantages in risk diversification for investments. We propose a novel framework for asset selection under global diversification principles using genetic network programming. Simulations using the stocks, bonds and currencies from relevant financial markets in USA, Europe and Asia show that the proposed framework is effective and offers competitive advantages against the conventional methods in finance and computational fields. © 2011 Institute of Electrical Engineers of Japan. Published by John Wiley & Sons, Inc.