A Genetic Programming Approach to the Dynamic Portfolio Rebalancing Problem

  • Vijay Karunamurthy
  • Published 2003
Modern portfolio theory holds that the set of efficient portfolios are those that minimize mean variance for a given return; however, the question of how portfolios should be rebalanced over time, given changing correlations among asset class returns and transaction costs, is an open one. Genetic programming enables the discovery of rebalancing… CONTINUE READING