TY - GEN
T1 - Optimising a targeted fund of strategies using genetic algorithms
AU - Hurwitz, Evan
AU - Marwala, Tshilidzi
PY - 2012
Y1 - 2012
N2 - This paper examines the use of Genetic Algorithm in order to perform the task of continuously rebalancing a portfolio targeting specific risk and return characteristics. The portfolio is comprised of a number of arbitrarily performing trading strategies, plus a risk-free strategy in order to rebalance in a similar method to the traditional CAPM method of rebalancing portfolios. A format is proposed for designing a fitness function appropriate to the task, and evaluated through the final results. Results of targeting both risk and return are investigated and compared, as well as optimising the non-targeted variable in order to create efficient portfolios. The findings show that a Genetic Algorithm is indeed a viable tool for optimising a targeted portfolio, using the proposed fitness function.
AB - This paper examines the use of Genetic Algorithm in order to perform the task of continuously rebalancing a portfolio targeting specific risk and return characteristics. The portfolio is comprised of a number of arbitrarily performing trading strategies, plus a risk-free strategy in order to rebalance in a similar method to the traditional CAPM method of rebalancing portfolios. A format is proposed for designing a fitness function appropriate to the task, and evaluated through the final results. Results of targeting both risk and return are investigated and compared, as well as optimising the non-targeted variable in order to create efficient portfolios. The findings show that a Genetic Algorithm is indeed a viable tool for optimising a targeted portfolio, using the proposed fitness function.
KW - genetic algorithm
KW - modern portfolio theory
KW - portfolio optimisation
KW - targeted return
KW - targeted risk
UR - http://www.scopus.com/inward/record.url?scp=84872415230&partnerID=8YFLogxK
U2 - 10.1109/ICSMC.2012.6378056
DO - 10.1109/ICSMC.2012.6378056
M3 - Conference contribution
AN - SCOPUS:84872415230
SN - 9781467317146
T3 - Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics
SP - 2139
EP - 2143
BT - Proceedings 2012 IEEE International Conference on Systems, Man, and Cybernetics, SMC 2012
T2 - 2012 IEEE International Conference on Systems, Man, and Cybernetics, SMC 2012
Y2 - 14 October 2012 through 17 October 2012
ER -