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ALPS evaluation in financial portfolio optimisation

Patel, S; Clack, CD; (2007) ALPS evaluation in financial portfolio optimisation. In: 2007 IEEE CONGRESS ON EVOLUTIONARY COMPUTATION, VOLS 1-10, PROCEEDINGS. (pp. 813 - 819). IEEE Green open access

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Hornby's Age-Layered Population Structure claims to reduce premature convergence in Evolutionary Algorithms. We provide the first evaluation of ALPS on a real-world problem - the evolution of non-linear factor models for financial portfolio optimisation. We incorporate ALPS into our GP system, coupled to an investment simulator, and provide a head-to-head comparison between ALPS GP and Standard GP.By investigating the performance of ALPS both during training and during out-of-sample validation, we provide empirical evidence of the benefits of ALPS; we show that it really does reduce convergence, and provides fitter individuals, in our problem domain. The ALPS GP system evolves non-linear factor models that out-perform not only the Standard GP system, but also the market index by a significant amount.

Type:Proceedings paper
Title:ALPS evaluation in financial portfolio optimisation
Event:IEEE Congress on Evolutionary Computation
Location:Singapore, SINGAPORE
Dates:2007-09-25 - 2007-09-28
Open access status:An open access version is available from UCL Discovery
UCL classification:UCL > School of BEAMS > Faculty of Engineering Science > Computer Science

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