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Erschienen in:
2009 | OriginalPaper | Buchkapitel
Dynamic Index Fund Optimization by a Heuristic GA Method Based on Correlation Coefficients
verfasst von : Yukiko Orito, Hisashi Yamamoto, Yasuhiro Tsujimura, Yasushi Kambayashi
Erschienen in: New Advances in Intelligent Decision Technologies
Verlag: Springer Berlin Heidelberg
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The portfolio optimizations are generally to determine the proportion of funds in the portfolio consisting of the static assets. Then, it is hard to determine the proportion-weighted combination for the optimal portfolio consisting of the static large number of assets. In order to avoid this problem, we propose a Heuristic GA Method that optimizes the portfolio that consists of not only the given static assets but also the dynamically selected assets in this paper. In order to demonstrate the effectiveness of our method, we apply the method to creating an index fund based on correlation coefficients for the Tokyo Stock Exchange. This fund is one of the passively managed portfolios. The results show that our method works well for a dynamic index fund optimization.