Abstract
Portfolio construction can become a very complicated problem, as regulatory constraints, individual investor’s requirements, nontrivial 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.
Cite
CITATION STYLE
Baglioni, S., Da Costa Pereira, C., Sorbello, D., & Tettamanzi, A. G. B. (2000). An evolutionary approach to multiperiod asset allocation. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 1802, pp. 225–236). Springer Verlag. https://doi.org/10.1007/978-3-540-46239-2_16
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