Application of Genetic Algorithms to Quantitative Asset Allocation Models

13 Pages Posted: 26 Mar 2013 Last revised: 28 Mar 2013

See all articles by Andrew Phillip

Andrew Phillip

affiliation not provided to SSRN

Nader Naeimi

AMP Capital

John R. Evans

Centre for Analysis of Complex Financial Systems

Date Written: March 25, 2013

Abstract

This paper discusses the role that Genetic Algorithms (GA) can have in determining asset allocation for multi sector funds. We present an asset allocation model where the investors’ utility function departs from the quadratic utility function assumed by the standard Mean-Variance optimisation. We will show how GA can improve the asset allocation process by allowing for the formulation of a more practical asset allocation framework.

Keywords: asset allocation, genetic algorithms, investment management

JEL Classification: C61, G11

Suggested Citation

Phillip, Andrew and Naeimi, Nader and Evans, John R., Application of Genetic Algorithms to Quantitative Asset Allocation Models (March 25, 2013). Available at SSRN: https://ssrn.com/abstract=2238919 or http://dx.doi.org/10.2139/ssrn.2238919

Andrew Phillip

affiliation not provided to SSRN

Nader Naeimi

AMP Capital ( email )

50 Bridge Street
Sydney, 2000
Australia

John R. Evans (Contact Author)

Centre for Analysis of Complex Financial Systems ( email )

PO Box 363
Summer Hill, 2130
Australia

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