Dynamical Proportion Portfolio Insurance with Genetic Programming

Created by W.Langdon from gp-bibliography.bib Revision:1.4216

  title =        "Dynamical Proportion Portfolio Insurance with Genetic
  author =       "Jiah-Shing Chen and Chia-Lan Chang",
  year =         "2005",
  pages =        "735--743",
  editor =       "Lipo Wang and Ke Chen and Yew-Soon Ong",
  booktitle =    "Advances in Natural Computation, First International
                 Conference, ICNC 2005, Proceedings, Part II",
  publisher =    "Springer",
  series =       "Lecture Notes in Computer Science",
  volume =       "3611",
  address =      "Changsha, China",
  month =        aug # " 27-29",
  bibdate =      "2005-08-01",
  bibsource =    "DBLP,
  keywords =     "genetic algorithms, genetic programming",
  ISBN =         "3-540-28325-0",
  DOI =          "doi:10.1007/11539117_104",
  abstract =     "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
                 accordingly. This research identifies factors relating
                 to market volatility. These factors are built into
                 equation trees by genetic programming. Experimental
                 results show that our DPPI strategy is more profitable
                 than traditional CPPI strategy.",

Genetic Programming entries for Jiah-Shing Chen Chia-Lan Chang