An Evolutionary Weight Encoding Scheme and Crossover Methodology in Portfolio Assets Allocation
Ping-Chen Lin 0, Po-Chang Ko, Hsin-Chieh Wang
0Department of Finance, KUAS
Available Online October 2006.
- https://doi.org/10.2991/jcis.2006.133How to use a DOI?
- Portfolio, Asset allocation, Genetic Algorithms, Encoding, Crossover
- Most of GA-based portfolio assets allocation uses normalization method to allocate investment asset’s weight. However, the normalization process will cause unease converging and even diverging characteristics, because it changes the gene’s relativity of address in chromosome. In this paper, we propose a weighed encoding scheme and crossover algorithm to allocate suitable assets in portfolio. Each gene encoded as a real number in a chromosome is denoted as the weighted number of assets in our approach. Due to no specific relationship assumed in our encoding scheme, the crossover process would not influence overall converging speed. In addition, in order to avoid losing optimal asset allocations through quicker converging, we also introduce the expanding rate to allow enlarging the possible range of asset allocation weight during the evolutionary process. Our experiments also show that higher expanding rate produces higher excess profit of investment.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Ping-Chen Lin AU - Po-Chang Ko AU - Hsin-Chieh Wang PY - 2006/10 DA - 2006/10 TI - An Evolutionary Weight Encoding Scheme and Crossover Methodology in Portfolio Assets Allocation BT - 9th Joint International Conference on Information Sciences (JCIS-06) PB - Atlantis Press SN - 1951-6851 UR - https://doi.org/10.2991/jcis.2006.133 DO - https://doi.org/10.2991/jcis.2006.133 ID - Lin2006/10 ER -