An Evolutionary Approach to Multiperiod Asset Allocation

Created by W.Langdon from gp-bibliography.bib Revision:1.2031

@InProceedings{baglioni:2000:eampaa,
  author =       "Stefania Baglioni and Celia da Costa Pereira and 
                 Dario Sorbello and Andrea G. B. Tettamanzi",
  title =        "An Evolutionary Approach to Multiperiod Asset
                 Allocation",
  booktitle =    "Genetic Programming, Proceedings of EuroGP'2000",
  year =         "2000",
  editor =       "Riccardo Poli and Wolfgang Banzhaf and 
                 William B. Langdon and Julian F. Miller and Peter Nordin and 
                 Terence C. Fogarty",
  volume =       "1802",
  series =       "LNCS",
  pages =        "225--236",
  address =      "Edinburgh",
  publisher_address = "Berlin",
  month =        "15-16 " # apr,
  organisation = "EvoNet",
  publisher =    "Springer-Verlag",
  keywords =     "genetic algorithms, genetic programming",
  ISBN =         "3-540-67339-3",
  URL =          "http://mago.crema.unimi.it/pub/BaglioniDaCostaPereiraSorbelloTettamanzi2000.ps",
  URL =          "http://www.springerlink.com/openurl.asp?genre=article&issn=0302-9743&volume=1802&spage=225",
  abstract =     "Portfolio construction can become a very complicated
                 problem, as regulatory constraints, individual
                 investor's requirements, non-trivial indices of risk
                 and subjective quality measures are taken into account,
                 together with multiple investment horizons and
                 cash-flow planning. This problem is approached using a
                 tree of possible scenarios for the future, and an
                 evolutionary algorithm is used to optimize an
                 investment plan against the desired criteria and the
                 possible scenarios. An application to a real defined
                 benefit pension fund case is discussed.",
  notes =        "EuroGP'2000, part of \cite{poli:2000:GP}",
}

Genetic Programming entries for Stefania Baglioni Celia da Costa Pereira Dario Sorbello Andrea G B Tettamanzi