A partitioned portfolio insurance strategy by relational genetic algorithm

Authors:
Jiah-Shing Chen;Yao-Tang Lin
Affiliations:
Department of Information Management, National Central University, Jhongli, Taiwan;Department of Information Management, National Central University, Jhongli, Taiwan
Venue:
AI'06 Proceedings of the 19th Australian joint conference on Artificial Intelligence: advances in Artificial Intelligence
Year:
2006

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Abstract

This paper proposes a new portfolio insurance strategy called partitioned portfolio insurance (PPI) strategy and a relational genetic algorithm (RGA) based on relational encoding to optimize the new partitioned portfolio insurance strategy. Experimental results show that our PPI strategy is significantly better than the traditional PI strategy and our RGA works well for solving the portfolio partitioning problem.