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An Evolutionary Approach to Multiperiod Asset Allocation

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Genetic Programming (EuroGP 2000)

Part of the book series: Lecture Notes in Computer Science ((LNCS,volume 1802))

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Abstract

Portfolio construction can become a very complicated problem, as regulatory constraints, individual investor’s requirements, non-trivial indices of risk and subjective quality measures are taken into account, together with multiple investment horizons and cash-flow planning. This problem is approached using a tree of possible scenarios for the future, and an evolutionary algorithm is used to optimize an investment plan against the desired criteria and the possible scenarios. An application to a real defined benefit pension fund case is discussed.

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References

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Author information

Authors and Affiliations

  1. Research Department, Fideuram Capital S.p.A., Via San Paolo 10, I-20121, Milano, Italy

    Stefania Baglioni & Dario Sorbello

  2. Dipartimento di Scienze dell’Informazione, Sezione di Crema, Universitá degli Studi di Milano, Via Bramante 65, I-26013, Crema (CR), Italy

    Andrea G. B. Tettamanzi

  3. Université Paul Sabatier, 118 Route de Narbonne, 31077, Toulouse, France

    Célia da Costa Pereira

Authors
  1. Stefania Baglioni
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  2. Célia da Costa Pereira
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  3. Dario Sorbello
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  4. Andrea G. B. Tettamanzi
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Editor information

Editors and Affiliations

  1. Department of Computing and Electronic Systems, University of Essex, Wivenhoe Park, CO4 3SQ, Colchester, UK

    Riccardo Poli

  2. Department of Computer Science, Memorial University of Newfoundland, Canada

    Wolfgang Banzhaf

  3. Departments of Mathematical, Biological Sciences and Computing and Electronic Systems, University of Essex, UK

    William B. Langdon

  4. School of Computer Science, The University of Birmingham, B15 2TT, Edgbaston, Birmingham, UK

    Julian Miller

  5. Dept. of Physical Rescource Theory, Chalmers University of Technology, 412 96, Göteborg, Sweden

    Peter Nordin

  6. School of Computing, Information Systems and Mathematics, South Bank University, SE1 0AA, London, UK

    Terence C. Fogarty

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© 2000 Springer-Verlag Berlin Heidelberg

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Baglioni, S., da Costa Pereira, C., Sorbello, D., Tettamanzi, A.G.B. (2000). An Evolutionary Approach to Multiperiod Asset Allocation. In: Poli, R., Banzhaf, W., Langdon, W.B., Miller, J., Nordin, P., Fogarty, T.C. (eds) Genetic Programming. EuroGP 2000. Lecture Notes in Computer Science, vol 1802. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-46239-2_16

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  • DOI: https://doi.org/10.1007/978-3-540-46239-2_16

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-67339-2

  • Online ISBN: 978-3-540-46239-2

  • eBook Packages: Springer Book Archive

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