Dynamic portfolio insurance strategy: a robust machine learning approach
In this paper, we propose a robust genetic programming (RGP) model for a dynamic strategy of stock portfolio insurance. With portfolio insurance strategy, we divide the money in a risky asset and a risk-free asset. Our applied strategy is based on a constant proportion portfolio insurance strategy....
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2018-10-01
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| Series: | Journal of Information and Telecommunication |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/24751839.2018.1431447 |