Application of Genetic Algorithms to Quantitative Asset Allocation Models
13 Pages Posted: 26 Mar 2013 Last revised: 28 Mar 2013
Date Written: March 25, 2013
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: Suggested Citation