Using a genetic algorithm-based RAROC model for the performance and persistence of the funds

DOI10.1080/02664763.2013.856870zbMATH Open1352.62017OpenAlexW1996710280MaRDI QIDQ3179210FDOQ3179210

Authors: Shang-Ling Ou, Li-Yu Daisy Liu, Yih-Chang Ou 

Publication date: 21 December 2016

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2013.856870

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zbMATH Keywords

performancegenetic algorithmpersistencemutual fundsoptimal decay factorRAROC

Mathematics Subject Classification ID

Applications of statistics to environmental and related topics (62P12) Approximation methods and heuristics in mathematical programming (90C59) General considerations in statistical decision theory (62C05)

Cites Work

• Extensions of simple component analysis and simple linear discriminant analysis using genetic algorithms
• A genetic algorithm with a mixed region search for the asymmetric traveling salesman problem
• A genetic algorithm estimation of the term structure of interest rates
• Nonlinearities in the Relation Between the Equity Risk Premium and the Term Structure

Uses Software

• RiskMetrics

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