EconPapers    
Economics at your fingertips  
 

The Factor-Portfolios Approach to Asset Management using Genetic Algorithms

Alejandro Reveiz ()

BORRADORES DE ECONOMIA from BANCO DE LA REPÚBLICA

Abstract: We present an investment process that: (i) decomposes securities into risk factors; (ii) allows for the construction of portfolios of assets that would selectively expose the manager to desired risk factors; (iii) perform a risk allocation between these portfolios, allowing for tracking error restrictions in the optimization process and (iv) give the flexibility to manage dinamically the transfer coeffficient (TC). The contribution of this article is to present an investment process that allows the asset manager to limit risk exposure to macro-factors - including expectations on correlation dynamics - whilst allowing for selective exposure to risk factors using mimicking portfolios that emulate the behaviour of given specific. An Artificial Intelligence (AI) optimisation technique is used for risk-budget allocation to factor-portfolios.

Keywords: Active Management; Portfolio Optimization; Genetic Algorithms; Propensities. (search for similar items in EconPapers)
JEL-codes: G11 G14 G32 (search for similar items in EconPapers)
Pages: 23
Date: 2008-04-20
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.banrep.gov.co/docum/ftp/borra511.pdf
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://www.banrep.gov.co/docum/ftp/borra511.pdf [301 Moved Permanently]--> https://www.banrep.gov.co/docum/ftp/borra511.pdf)

Related works:
Working Paper: The Factor-Portfolios Approach to Asset Management using Genetic Algorithms (2008) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:col:000094:004626

Access Statistics for this paper

More papers in BORRADORES DE ECONOMIA from BANCO DE LA REPÚBLICA
Bibliographic data for series maintained by Clorith Angélica Bahos Olivera ().

 
Page updated 2022-07-28
Handle: RePEc:col:000094:004626