Applying Genetic Algorithm to Support Index Fund Portfolio Strategy
- Jui-Fang Chang 0, Gi-Yi Lai
- Corresponding Author
- Jui-Fang Chang
0National Kaohsiung University of Applied Sciences
Available Online October 2006.
- https://doi.org/10.2991/jcis.2006.187How to use a DOI?
- Index Fund Portfolio, Genetic Algorithm
- Index funds are popular investment tools currently being used in modern portfolio management; moreover, it has been observed that the performances of index funds are better than those of many other actively managed funds Elton, et al. (1996). The strategy is taken by fund managers when their portfolios will not necessarily outperform the market, thereby allowing fund managers to make necessary adjustments to reach average performance Oh, et al. (2005). In this study, we adopt the model of Oh, et al. (2005), and adjust the stock choosing method. Further, attempting to find the optimal index fund portfolio strategy in the stock market of Taiwan, we also use genetic algorithm to evaluate the performance of the index fund portfolio. Our main purpose is to report that an index fund could improve its performance greatly with the proposed genetic algorithm portfolio strategy, which will be demonstrated for index funds designed to track Taiwan Stock Price Index (TSPI).
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Jui-Fang Chang AU - Gi-Yi Lai PY - 2006/10 DA - 2006/10 TI - Applying Genetic Algorithm to Support Index Fund Portfolio Strategy BT - 9th Joint International Conference on Information Sciences (JCIS-06) PB - Atlantis Press UR - https://doi.org/10.2991/jcis.2006.187 DO - https://doi.org/10.2991/jcis.2006.187 ID - Chang2006/10 ER -