Abstract
This paper proposes a new portfolio insurance strategy called partitioned portfolio insurance (PPI) strategy and a relational genetic algorithm (RGA) based on relational encoding to optimize the new partitioned portfolio insurance strategy. Experimental results show that our PPI strategy is significantly better than the traditional PI strategy and our RGA works well for solving the portfolio partitioning problem. © Springer-Verlag Berlin Heidelberg 2006.
Author supplied keywords
Cite
CITATION STYLE
Chen, J. S., & Lin, Y. T. (2006). A partitioned portfolio insurance strategy by relational genetic algorithm. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 4304 LNAI, pp. 857–866). Springer Verlag. https://doi.org/10.1007/11941439_90
Register to see more suggestions
Mendeley helps you to discover research relevant for your work.
