The Factor-Portfolios Approach to Asset Management using Genetic Algorithms

Número: 
511
Publicado: 
Clasificación JEL: 
G11, G14, G32
Palabras clave: 
Active Management, Portfolio optimization, Genetic Algorithms, Propensities.

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 p