Paper Info
Title
EDA with Switching Distributions for Long-Short Portfolio Replication Problems
Abstract
It is desired to replicate the benchmark portfolio when it has delivered good performances. In this paper, our focus is on the portfolio replication problem that the total return of the benchmark portfolio is opened to the public but the proportion-weighted combination is closed to the public. It is difficult to solve this replication problem because we cannot have any techniques to solve the simultaneous equations when the number of unknown valuables is more than the number of equations. In order to solve such a problem, we propose the new Estimation of Distribution Algorithm with the operation switching two distributions in this paper. In the numerical experiments, we show that the portfolios replicated by our proposing algorithm have delivered good performances even in the future periods.
Year
DOI
Venue
2013
10.1109/SMC.2013.79
SMC
Keywords
Field
DocType
statistical distributions,numerical experiment,eda,future period,switching distributions,estimation of distribution algorithm,simultaneous equation,long-short portfolio replication,proportion-weighted combination,replication problem,new estimation,good performance,portfolio replication problem,investment,distribution algorithm,benchmark portfolio,stochastic programming,long-short portfolio replication problems
Total return,Mathematical optimization,Estimation of distribution algorithm,Computer science,Portfolio,Probability distribution,Portfolio optimization,Stochastic programming,Replicate,Simultaneous equations
Conference
ISSN
Citations 
PageRank 
1062-922X
0
0.34
References 
Authors
6
4
Name
Order
Citations
PageRank
Shunsuke Shibata100.68
Yukiko Orito2137.69
Yoshiko Hanada32011.42
Hisashi Yamamoto492.93