標題: | Global Asset Allocation using XCS Experts in Country-Specific ETFs |
作者: | Tsai, Wen-Chih Chen, An-Pin 資訊管理與財務金融系 註:原資管所+財金所 Department of Information Management and Finance |
公開日期: | 2008 |
摘要: | There are several studies extended classification system (XCS) in past years, the model can dynamically learn and adapt to the change of environments for maximizing the desired goals. This paper conducts simulation the experiment to evolve XCS for global asset allocation in the country-specific Exchanged Traded Funds (ETFs). Since international stock price trend is influenced by unknown and unpredictable surrounding, using XCS to model the fluctuations on global financial market allows' for the capability to discover the patterns of the future trends. The benefits of international diversification can be achieved with country-specific ETFs at a low cost, with a low transaction cost, tracking error and in a tax-efficient way. These empirical results indicate that XCS is capable of evolving from generation to generation, and in this way can provide the highest profit for future global asset allocation decision-making. |
URI: | http://hdl.handle.net/11536/1386 http://dx.doi.org/10.1109/ICCIT.2008.418 |
ISBN: | 978-0-7695-3407-7 |
DOI: | 10.1109/ICCIT.2008.418 |
期刊: | Third 2008 International Conference on Convergence and Hybrid Information Technology, Vol 2, Proceedings |
起始頁: | 1170 |
結束頁: | 1176 |
顯示於類別: | 會議論文 |