基于遗传算法的指数基金投资组合选择

Proceedings Fourth International Conference on Computational Intelligence and Multimedia Applications. ICCIMA 2001 Pub Date : 2001-10-30 DOI:10.1109/ICCIMA.2001.970454

Y. Orito, G. Yamazaki

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引用次数: 7

摘要

众所周知，指数基金投资组合对对冲投资风险很有用。该投资组合由m公司(称为品牌)股票组成，其价格作为时间的函数跟踪市场股票价格指数。从实际的角度来看，我们希望m公司越小，投资组合价格与纳入投资组合的股票价格指数的相关性越高。这种相关性被称为贡献率。假设存在一些投资组合，其中贡献率大于固定水平。然后我们选择在投资组合中使其自身风险最小化的投资组合。本文的主要目的是利用遗传算法(GA)找到这样的投资组合。我们给出了一些数值例子来证明遗传算法的有效性。我们证明了遗传算法可以很好地找到这样的投资组合。

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Index fund portfolio selection by using GA

It is well known that an index fund portfolio is useful for the risk hedge of investment. The portfolio consists of M-company (called brand) stocks and its price as a function of time traces the stock price index in the market. From a practical viewpoint, it is desired that M-company is smaller and the correlation between the portfolio price and stock price index, included in the portfolio is higher. The correlation is called the contribution rate. Suppose that there are some portfolios where the contribution rate is greater than a fixed level. We then select the portfolio that minimizes its own risk in the portfolio. The main purpose of the paper is to find such a portfolio by using a genetic algorithm (GA). We present some numerical examples that demonstrate the usefulness of GA. We show that GA works well for finding such portfolios.

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Proceedings Fourth International Conference on Computational Intelligence and Multimedia Applications. ICCIMA 2001

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