Applying Genetic Algorithm to Support Index Fund Portfolio Strategy

DOI

10.2991/jcis.2006.187How to use a DOI?

Keywords

Index Fund Portfolio, Genetic Algorithm

Abstract

Index funds are popular investment tools currently being used in modern portfolio management; moreover, it has been observed that the performances of index funds are better than those of many other actively managed funds Elton, et al. (1996). The strategy is taken by fund managers when their portfolios will not necessarily outperform the market, thereby allowing fund managers to make necessary adjustments to reach average performance Oh, et al. (2005). In this study, we adopt the model of Oh, et al. (2005), and adjust the stock choosing method. Further, attempting to find the optimal index fund portfolio strategy in the stock market of Taiwan, we also use genetic algorithm to evaluate the performance of the index fund portfolio. Our main purpose is to report that an index fund could improve its performance greatly with the proposed genetic algorithm portfolio strategy, which will be demonstrated for index funds designed to track Taiwan Stock Price Index (TSPI).

Copyright

© 2006, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Jui-Fang Chang
AU  - Gi-Yi Lai
PY  - 2006/10
DA  - 2006/10
TI  - Applying Genetic Algorithm to Support Index Fund Portfolio Strategy
BT  - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SP  - 545
EP  - 548
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.187
DO  - 10.2991/jcis.2006.187
ID  - Chang2006/10
ER  -