An evolutionary approach to multiperiod asset allocation

被引：0
|
作者：
Baglioni, S
Pereira, CD
Sorbello, D
Tettamanzi, AGB
机构：
[1] Fideuram Capital SpA, Dept Res, I-20121 Milan, Italy
[2] Sez Crema, Dipartimento Sci Informaz, I-26013 Crema, CR, Italy
[3] Univ Toulouse 3, F-31077 Toulouse, France
来源：
GENETIC PROGRAMMING, PROCEEDINGS | 2000年 / 1802卷
关键词：
D O I：
暂无
中图分类号：
TP31 [计算机软件];
学科分类号：
081202 ; 0835 ;
摘要：
sPortfolio construction can become a very complicated problem, as regulatory constraints, individual investor's requirements, nontrivial 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.
引用
收藏
页码：225 / 236
页数：12
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