Genetic Programming for the Investment of the Mutual Fund with Sortino Ratio and Mean Variance Model∗

Abstract

In this paper, we propose two geneticprogramming-based models that improve the trading strategy for mutual funds. These two models can get better returns and reduce risks. The first model increases the return by selecting funds with high Sortino ratios and allocates the capital equally, achieving the best annualized return. The second model also selects… (More)

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