MyJournals Home  

RSS FeedsSustainability, Vol. 12, Pages 849: Asset Allocation Model for a Robo-Advisor Using the Financial Market Instability Index and Genetic Algorithms (Sustainability)

 
 

24 january 2020 01:00:22

 
Sustainability, Vol. 12, Pages 849: Asset Allocation Model for a Robo-Advisor Using the Financial Market Instability Index and Genetic Algorithms (Sustainability)
 


There has been a growing demand for portfolio management using robo-advisors, and hence, research on the automation of portfolio composition has been increasing. In this study, we propose a model that automates the portfolio structure by using the instability index of the financial time series and genetic algorithms (GAs). We use the instability index to filter the investment assets and optimize the threshold value used as a filtering criterion by applying a GA. For an empirical analysis, we use stocks, bonds, commodities exchange traded funds (ETFs), and exchange rate. We compare the performance of our model with that of risk parity and mean-variance models and find our model has better performance. Several additional experiments with our model using various internal parameters are conducted, and the proposed model with a one-month test period after one year of learning is found to provide the highest Sharpe ratio.


 
230 viewsCategory: Ecology
 
Sustainability, Vol. 12, Pages 851: Spatio-Temporal Usage Patterns of Dockless Bike-Sharing Service Linking to a Metro Station: A Case Study in Shanghai, China (Sustainability)
Sustainability, Vol. 12, Pages 848: Measuring Age-Friendly Housing: A Framework (Sustainability)
 
 
blog comments powered by Disqus


MyJournals.org
The latest issues of all your favorite science journals on one page

Username:
Password:

Register | Retrieve

Search:

Ecology


Copyright © 2008 - 2024 Indigonet Services B.V.. Contact: Tim Hulsen. Read here our privacy notice.
Other websites of Indigonet Services B.V.: Nieuws Vacatures News Tweets Nachrichten