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An EA for portfolio selection over multiple investment periods with exponential transaction costs

Published: 06 July 2013 Publication History

Abstract

We study a matrix representation for an EA attack on the CCPOP with transaction costs. The representation is based on portfolio sequences which change over the investment lifetime in response to asset price changes. We show the approach is effective and that EA performance is directly related to asset price correlation. We compare the EA with a matrix hillclimber and show some common results of vector representations do not hold for a matrix one, potentially providing a step forward in performance of such algorithms.

References

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J. Arriaga and M. Valenzuela-Rendon. Steepest ascent hill climbing for portfolio selection. LNCS, 7248:145--154, 2012.
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S. Baglioni, C. de Costa Pereira, D. Sorbello, and A. Tettamanzi. An evolutionary approach to multiperiod asset allocation. LNCS, 1802:225--236, 2000.
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T. J. Chang, N. Meade, J. E. Beasley, and Y. M. Sharaiha. Heuristics for cardinality constrained portfolio optimisation. Comp. Op. Res., 27:1271--1302, 2000.
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F. E. Colomine Duran, C. Cotta, and A. J. Fernandez-Leiva. A comparative study of multi-objective evolutionary algorithms to optimize the selection of investment portfolios with cardinality constraints. LNCS, 7248:165--173, 2012.
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H. C. Jimbo, M. J. Craven, S. I. Ngongo, and T. Suzuki. Optimization of investment stock portfolios with stochastic constraints. In 7th Intl. Conf. on Nonl. Analysis and Conv. Analysis - I, pages 127--141, 2013.
[6]
J. M. Mulvey. Incorporating transaction costs in models for asset allocations. In Financial Optimization, pages 241--259. CUP, 1993.
[7]
R. Stafford. Randfixedsum, 2006. From http://www.mathworks.com/matlabcentral/fileexchange/9700.
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A. Yoshimoto. The mean-variance approach to portfolio optimization subject to transaction costs. J. Op. Res. Soc. Japan, 39(1):99{117, 1996.

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  • (2023)Poseidon-AI, Where Aquatic Intelligence Meets Artificial IntelligenceDeep Technology for Sustainable Fisheries and Aquaculture10.1007/978-981-99-4917-5_3(61-78)Online publication date: 13-Aug-2023
  • (2022)An Evolutionary Algorithm: An Enhancement of Binary Tournament Selection for Fish Feed FormulationComplexity10.1155/2022/77966332022(1-15)Online publication date: 22-Nov-2022

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Published In

cover image ACM Conferences
GECCO '13 Companion: Proceedings of the 15th annual conference companion on Genetic and evolutionary computation
July 2013
1798 pages
ISBN:9781450319645
DOI:10.1145/2464576
  • Editor:
  • Christian Blum,
  • General Chair:
  • Enrique Alba
Permission to make digital or hard copies of part or all of this work for personal or classroom use is granted without fee provided that copies are not made or distributed for profit or commercial advantage and that copies bear this notice and the full citation on the first page. Copyrights for third-party components of this work must be honored. For all other uses, contact the Owner/Author.

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Association for Computing Machinery

New York, NY, United States

Publication History

Published: 06 July 2013

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Author Tags

  1. evolutionary algorithm
  2. matrix representation
  3. portfolio optimization
  4. transaction cost

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GECCO '13
Sponsor:
GECCO '13: Genetic and Evolutionary Computation Conference
July 6 - 10, 2013
Amsterdam, The Netherlands

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Overall Acceptance Rate 1,669 of 4,410 submissions, 38%

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Cited By

View all
  • (2023)Poseidon-AI, Where Aquatic Intelligence Meets Artificial IntelligenceDeep Technology for Sustainable Fisheries and Aquaculture10.1007/978-981-99-4917-5_3(61-78)Online publication date: 13-Aug-2023
  • (2022)An Evolutionary Algorithm: An Enhancement of Binary Tournament Selection for Fish Feed FormulationComplexity10.1155/2022/77966332022(1-15)Online publication date: 22-Nov-2022

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