Dynamic proportion portfolio insurance using genetic programming with principal component analysis

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@Article{Chen2008273,
  author =       "Jiah-Shing Chen and Chia-Lan Chang and Jia-Li Hou and 
                 Yao-Tang Lin",
  title =        "Dynamic proportion portfolio insurance using genetic
                 programming with principal component analysis",
  journal =      "Expert Systems with Applications",
  volume =       "35",
  number =       "1-2",
  pages =        "273--278",
  year =         "2008",
  ISSN =         "0957-4174",
  DOI =          "doi:10.1016/j.eswa.2007.06.030",
  URL =          "http://www.sciencedirect.com/science/article/B6V03-4P40KHS-4/2/0bbb6228d04a3a1a4d59108b17c37664",
  keywords =     "genetic algorithms, genetic programming, Dynamic
                 proportion portfolio insurance (DPPI), Constant
                 proportion portfolio insurance (CPPI), Principal
                 component analysis (PCA)",
  abstract =     "This paper proposes a dynamic proportion portfolio
                 insurance (DPPI) strategy based on the popular constant
                 proportion portfolio insurance (CPPI) strategy. The
                 constant multiplier in CPPI is generally regarded as
                 the risk multiplier. Since the market changes
                 constantly, we think that the risk multiplier should
                 change according to market conditions. This research
                 identifies risk variables relating to market
                 conditions. These risk variables are used to build the
                 equation tree for the risk multiplier by genetic
                 programming. Experimental results show that our DPPI
                 strategy is more profitable than traditional CPPI
                 strategy. In addition, principal component analysis of
                 the risk variables in equation trees indicates that
                 among all the risk variables, risk-free interest rate
                 influences the risk multiplier most.",
}

Genetic Programming entries for Jiah-Shing Chen Chia-Lan Chang Jia-Li Hou Yao-Tang Lin

Citations