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- Title
USEFULNESS OF GENETIC ALGORITHM MODEL FOR DYNAMIC PORTFOLIO SELECTION.
- Authors
Venugopal, M. Sitaram; Subramanian, S.; Rao, U. S.
- Abstract
This paper briefly reviews the literature in the area of application of Genetic Algorithms to financial problems, and then details the development of Genetic Algorithm Model for portfolio selection. The model considers both equity and debt securities to enable switching from debt to equity during bull phase and vice versa. The Computerized Model has been tested with CMIE-BSE-100 and BSE Sensex stock data over approximately a 4-year period during April 1999-January 2003 (which includes a sustained bull and bear phase) at three levels of risk tolerances. It is observed that at medium and high levels of risk, a substantial appreciation is obtained over the period when market index showed marginal increase.
- Publication
Journal of Financial Management & Analysis, 2004, Vol 17, Issue 1, p45
- ISSN
0970-4205
- Publication type
Academic Journal