A portfolio selection strategy using Genetic Relation Algorithm

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  author =       "Yan Chen and Shingo Mabu and Kotaro Hirasawa",
  title =        "A portfolio selection strategy using Genetic Relation
  booktitle =    "IEEE Congress on Evolutionary Computation (CEC 2010)",
  year =         "2010",
  address =      "Barcelona, Spain",
  month =        "18-23 " # jul,
  publisher =    "IEEE Press",
  keywords =     "genetic algorithms, genetic programming",
  isbn13 =       "978-1-4244-6910-9",
  abstract =     "This paper proposes a new strategy #x03B2;-GRA for
                 portfolio selection in which the return and risk are
                 considered as measures of strength in Genetic Relation
                 Algorithm (GRA). Since the portfolio beta #x03B2;
                 efficiently measures the volatility relative to the
                 benchmark index or the capital market, #x03B2; is
                 usually employed for portfolio evaluation or
                 prediction, but scarcely for portfolio construction
                 process. The main objective of this paper is to propose
                 an integrated portfolio selection strategy, which
                 selects stocks based on #x03B2; using GRA. GRA is a new
                 evolutionary algorithm designed to solve the
                 optimisation problem due to its special structure. We
                 illustrate the proposed strategy by experiments and
                 compare the results with those derived from the
                 traditional models.",
  DOI =          "doi:10.1109/CEC.2010.5586430",
  notes =        "WCCI 2010. Also known as \cite{5586430}",

Genetic Programming entries for Yan Chen Shingo Mabu Kotaro Hirasawa