Genetic algorithms + data structures = evolution programs (3rd ed.)
Genetic algorithms + data structures = evolution programs (3rd ed.)
Heuristics for cardinality constrained portfolio optimisation
Computers and Operations Research
How to solve it: modern heuristics
How to solve it: modern heuristics
An Evolutionary Approach to Multiperiod Asset Allocation
Proceedings of the European Conference on Genetic Programming
Improving Portfolio Efficiency: A Genetic Algorithm Approach
Computational Economics
Fuzzy portfolio selection using genetic algorithm
Soft Computing - A Fusion of Foundations, Methodologies and Applications - Special issue on intelligent systems for financial engineering and computational finance
Portfolio value-at-risk forecasting with GA-based extreme value theory
Expert Systems with Applications: An International Journal
Portfolio optimization problems in different risk measures using genetic algorithm
Expert Systems with Applications: An International Journal
Using genetic algorithm to support portfolio optimization for index fund management
Expert Systems with Applications: An International Journal
Hi-index | 12.05 |
This paper presents an optimization approach to analyze the problems of portfolio selection for long-term investments, taking into consideration the specific target replacement ratio for defined-contribution (DC) pension scheme; the purpose is to generate an effective multi-period asset allocation that reaches an amount matching the target liability at retirement date and reduce the downside risk of the investment. A multi-period asset liability simulation model was used to generate 4000 asset return predictions, and an evolutionary algorithm, evolution strategies, was incorporated into the model to generate multi-period asset allocations under four conditions, considering different weights for measuring the importance of matching the target liability and different periods of downside risk measurement. Computational results showed that the evolutionary algorithm, evolution strategies, is a very robust and effective approach to generate promising asset allocations under all the four cases. In addition, computational results showed that the promising asset allocations revealed valuable information, which is able to help fund managers or investors achieve a higher average investment return or a lower level of volatility under different conditions.