DocumentCode
3213852
Title
Searching co-integrated portfolios by a genetic algorithm
Author
Kriplani, Pravesh ; Troiano, Luigi
Author_Institution
Quantitative Strategy Group, Brics Securities Lmt., Mumbai, India
fYear
2009
fDate
9-11 Dec. 2009
Firstpage
362
Lastpage
366
Abstract
Searching for portfolios co-integrated with an index offers new opportunities in designing robust investment strategies. The problem of finding optimal index co-integrated portfolios that are maximally stationary is combinatorial. Indeed, given a basket of equities, the portfolio/index co-integration cannot be simply expressed in terms of equity/index co-integration. In this paper we investigate the application of simple genetic algorithms in finding optimal portfolios.
Keywords
genetic algorithms; investment; co-integrated portfolio search; equity-index co-integration; genetic algorithm; portfolio-index co-integration; Design engineering; Genetic algorithms; Globalization; Instruments; Investments; Portfolios; Robust control; Robustness; Security; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Nature & Biologically Inspired Computing, 2009. NaBIC 2009. World Congress on
Conference_Location
Coimbatore
Print_ISBN
978-1-4244-5053-4
Type
conf
DOI
10.1109/NABIC.2009.5393522
Filename
5393522
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