9th Joint International Conference on Information Sciences (JCIS-06)

Applying Genetic Algorithm to Support Index Fund Portfolio Strategy

Authors
Jui-Fang Chang 0, Gi-Yi Lai
Corresponding Author
Jui-Fang Chang
0National Kaohsiung University of Applied Sciences
Available Online October 2006.
DOI
https://doi.org/10.2991/jcis.2006.187How to use a DOI?
Keywords
Index Fund Portfolio, Genetic Algorithm
Abstract
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).
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Proceedings
9th Joint International Conference on Information Sciences (JCIS-06)
Part of series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
978-90-78677-01-7
DOI
https://doi.org/10.2991/jcis.2006.187How to use a DOI?
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  -