SIG-FIN-003-10

2013-02-21 (木) 18:38:47 (1558d) | Topic path: Top / SIG-FIN-003-10

第3回研究会

Advances in Portfolio Optimization by Genetic Algorithms

著者

  • Claus Aranha (The University of Tokyo)
  • Hitoshi Iba (The University of Tokyo)

概要

Portfolio Optimization is an important problem for financial engineering. It consists of finding out the best investment weights for a large group of assets, so that the Expected Return of those assets is maximized and the specific risk of the portfolio is minimized. This problem can be modeled as a Parameter Optimization problem, and Genetic Algorithms have shown better results every year. In this paper we review recently proposed techniques to optimize Financial Portfolio using Historical Price values, compare them, and draw up proposals about how to improve these results even further.

発表

16:35-17:00 セッション 5: 機械学習

原稿

fileSIG-FIN-003-10.pdf

添付ファイル: fileSIG-FIN-003-10.pdf 675件 [詳細]
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