Equality constrained long-short portfolio replication by using probabilistic model-building GA

Abstract

Portfolio replication problem is to optimize the portfolio such that its proportion-weighted combination is the same as the given benchmark portfolio. However, the benchmark portfolio generally opens only the return to the public but other information such as the assets included in the portfolio, the proportion-weighted combination, the rebalancing date and… (More)
DOI: 10.1109/CEC.2012.6256174

Topics

4 Figures and Tables

Cite this paper

@article{Orito2012EqualityCL, title={Equality constrained long-short portfolio replication by using probabilistic model-building GA}, author={Yukiko Orito and Hisashi Yamamoto and Yasuhiro Tsujimura}, journal={2012 IEEE Congress on Evolutionary Computation}, year={2012}, pages={1-8} }